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dc.contributor.authorRENDAHL, Pontus
dc.date.accessioned2006-03-13T09:41:23Z
dc.date.available2006-03-13T09:41:23Z
dc.date.issued2006
dc.identifier.issn1725-6704
dc.identifier.urihttps://hdl.handle.net/1814/4203
dc.description.abstractDynamic 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.extent367334 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoenen
dc.publisherEuropean University Institute
dc.relation.ispartofseriesEUI ECOen
dc.relation.ispartofseries2006/6en
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectInequality constraintsen
dc.subjectEnvelope theoremen
dc.subjectRecursive methodsen
dc.subjectTime iterationen
dc.titleInequality Constraints in Recursive Economiesen
dc.typeWorking Paperen
dc.neeo.contributorRENDAHL|Pontus|aut|
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