Computing HA models

Useful papers & technics:

Endogenous Grid Method (EGM)
Other technics


int C++ // (for discrete time)
MatLab % (for continuous time)

Computational speed - comparison between EGM, DC-EGM and VFI

Comparison of performance and accuracy of EGM, DC-EGM and VFI methods on occupational choice and entrepreneurship models à la Cagetti & De Nardi (2006). The presence of discrete choice (occupational choice) makes EGM inaccurate. DC-EGM encompasses generated kinks very well, while being substantially faster than standard VFI.

Method Speed (in s) % Entrepreneurs K/Y
EGM 0.8s 8.4 2.6
DC-EGM 1.2s 8.8 2.6
VFI 3s 8.8 2.6