dc.contributor.author | RENDAHL, Pontus | |
dc.date.accessioned | 2006-03-13T09:41:23Z | |
dc.date.available | 2006-03-13T09:41:23Z | |
dc.date.issued | 2006 | |
dc.identifier.issn | 1725-6704 | |
dc.identifier.uri | https://hdl.handle.net/1814/4203 | |
dc.description.abstract | Dynamic models with inequality constraints pose a challenging prob-
lem for two major reasons: Dynamic Programming techniques often necessitate a
non established differentiability of the value function, while Euler equation based
techniques have problematic or unknown convergence properties. This paper aims
to resolve these two concerns: An \envelope theorem" is presented that establishes
the differentiability of any element in the convergent sequence of approximate value
functions when inequality constraints may bind. As a corollary, convergence of an
iterative procedure on the Euler equation, usually referred to as time iteration, is
ascertained. This procedure turns out to be very convenient from a computational
perspective; dynamic economic problems with inequality constraints can be solved
reliably and extremely e±ciently by exploiting the theoretical insights provided by
the paper. | en |
dc.format.extent | 367334 bytes | |
dc.format.mimetype | application/pdf | |
dc.language.iso | en | en |
dc.publisher | European University Institute | |
dc.relation.ispartofseries | EUI ECO | en |
dc.relation.ispartofseries | 2006/6 | en |
dc.rights | info:eu-repo/semantics/openAccess | |
dc.subject | Inequality constraints | en |
dc.subject | Envelope theorem | en |
dc.subject | Recursive methods | en |
dc.subject | Time iteration | en |
dc.title | Inequality Constraints in Recursive Economies | en |
dc.type | Working Paper | en |
dc.neeo.contributor | RENDAHL|Pontus|aut| | |
eui.subscribe.skip | true | |