Numerical solution of dynamic quantile models

DOI10.1016/J.JEDC.2023.104617MaRDI QIDQ6164883zbMATH OpenOpenAlexFDO

Authors Luciano I. de Castro, Antonio F. Galvao, Andre Muchon

Publication date 4 July 2023

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2023.104617

zbMATH Keywords

dynamic programmingquantile preferencesvalue function iterations

Mathematics Subject Classification ID

Dynamic programming (90C39) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02)

Recommendations

• Dynamic Quantile Models of Rational Behavior
• Static and dynamic quantile preferences
• A solution method for consumption decisions in a dynamic stochastic general equilibrium model
• Analysis of a Numerical Dynamic Programming Algorithm Applied to Economic Models
• The endogenous grid method for discrete-continuous dynamic choice models with (or without) taste shocks

Cites work

• scientific article; zbMATH DE number 5562045 (Why is no real title available?)
• scientific article; zbMATH DE number 52448 (Why is no real title available?)
• scientific article; zbMATH DE number 1241609 (Why is no real title available?)
• scientific article; zbMATH DE number 1099381 (Why is no real title available?)
• scientific article; zbMATH DE number 1873658 (Why is no real title available?)
• AN AXIOMATIZATION OF QUANTILES ON THE DOMAIN OF DISTRIBUTION FUNCTIONS
• Algorithms for solving dynamic models with occasionally binding constraints
• An optimal one-way multigrid algorithm for discrete-time stochastic control
• Comparing solution methods for dynamic equilibrium economies
• Comparison of solutions to the incomplete markets model with aggregate uncertainty
• Comparison of solutions to the multi-country real business cycle model
• Do people maximize quantiles?
• Dynamic Quantile Models of Rational Behavior
• Equal-quantile rules in resource allocation with uncertain needs
• Handbook of quantile regression
• How to solve dynamic stochastic models computing expectations just once
• Inferring optimal peer assignment from experimental data
• On monotone recursive preferences
• Ordinal aggregation and quantiles
• Quantile Maximization in Decision Theory*
• Quantile regression.
• Quantile-preserving spread
• SOLVING LARGE-SCALE RATIONAL-EXPECTATIONS MODELS
• Static and dynamic quantile preferences
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Unique solutions for stochastic recursive utilities

Cited in

(4)

• Static and dynamic quantile preferences
• Dynamic quantile models
• A numerically stable quadrature procedure for the one-factor random-component discrete choice model
• Analytical Quantile Solution for the S-distribution, Random Number Generation and Statistical Data Modeling

This page was built for publication: Numerical solution of dynamic quantile models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6164883)