Computational Economics

The endogenous grid method appears incompatible with Epstein-Zin preferences where the value function enters the Euler equation. This paper shows that a power transformation resolves the difficulty, achieving 50-100x speed improvements and eliminating root-finding procedures.

Efficient method for solving heterogeneous agent models with multiple decisions, extending the Endogenous Grid Method with Gaussian Process Regression for unstructured grids.

State-of-the-art computational model of optimal choices for household spending, investing, and home buying. First open source toolkit for this class of models.