Solving the stochastic growth model by using quadrature methods and value-function iterations
Repository Usage Stats
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.
Published Version (Please cite this version)10.1080/07350015.1990.10509776
Publication InfoTauchen, G (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.
More InfoShow full item record
William Henry Glasson Distinguished Professor of Economics
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