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EGM and DC-EGM

Python implementation of the Endogenous Grid Method (EGM) and Discrete-Continuous EGM (DC-EGM) algorithms for solving dynamic stochastic lifecycle models of consumption and savings, including additional discrete choices.

References

  1. Christopher D. Carroll (2006). The method of endogenous gridpoints for solving dynamic stochastic optimization problems. Economics Letters
  2. Iskhakov, Jorgensen, Rust, and Schjerning (2017). The Endogenous Grid Method for Discrete-Continuous Dynamic Choice Models with (or without) Taste Shocks. Quantitative Economics

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