Solving the stochastic growth model by using quadrature methods and value-function iterations
Abstract
This article presents a solution algorithm for the capital growth model. The algorithm
uses value- function iterations on a discrete state space. The quadrature method is
used to set the grid for the exogenous process, and a simple equispaced scheme in
logarithms is used to set the grid for the endogenous capital process. The algorithm
can produce a solution to within four-digit accuracy using a state space composed
of 1,800 points in total. © 1990 American Statistical Association.
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https://hdl.handle.net/10161/1885Published Version (Please cite this version)
10.1080/07350015.1990.10509776Publication Info
(1990). Solving the stochastic growth model by using quadrature methods and value-function
iterations. Journal of Business and Economic Statistics, 8(1). pp. 49-51. 10.1080/07350015.1990.10509776. Retrieved from https://hdl.handle.net/10161/1885.This is constructed from limited available data and may be imprecise. To cite this
article, please review & use the official citation provided by the journal.
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Show full item recordScholars@Duke
George E. Tauchen
William Henry Glasson Distinguished Professor Emeritus
George Tauchen is the William Henry Glasson Professor of Economics and professor of
finance at the Fuqua School of Business. He joined the Duke faculty in 1977 after
receiving his Ph.D. from the University of Minnesota. He did his undergraduate work
at the University of Wisconsin. Professor Tauchen is a fellow of the Econometric Society,
the American Statistical Association, the Journal of Econometrics, and the Society
for Financial Econometrics (SoFie). He is also the 2003 Duke University Sc
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