Solution Methods for Microeconomic Dynamic Stochastic Optimization Problems
نویسنده
چکیده
These notes describe some tools for solving microeconomic dynamic stochastic optimization problems, and show how to use those tools for effeciently estimating a standard life cycle consumption/saving model using microeconomic data. No attempt is made at a systematic overview of the many possible technical choices; instead, I present a specific set of methods that have proven useful in my own work (and explain why other popular methods, such as value function iteration, are a bad idea). Paired with these notes is Mathematica and Matlab software that solves the problems described in the text.
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