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This paper analyzes asymptotic convergence properties of policy iteration in a class of stationary, infinite-horizon Markovian decision problems that arise in optimal growth theory. These problems have continuous state and control variables and must therefore be discretized in order to compute an approximate solution. The discretization may render… (More)

- Jesús Fernández-Villaverde, Juan F Rubio-Ramírez, Manuel S Santos
- 2005

1 This paper studies the econometrics of computed dynamic models. Since these models generally lack a closed-form solution, their policy functions are approximated by numerical methods. Hence, the researcher can only evaluate an approximated likelihood associated with the approximated policy function rather than the exact likelihood implied by the exact… (More)

This paper studies first-order differentiability properties of the value function in concave dynamic programs. Motivated by economic considerations, we dispense with commonly imposed interiority assumptions. We suppose that the correspondence of feasible choices varies with the vector of state variables, and we allow the optimal solution to belong to the… (More)

- Miguel A Iraola, Manuel S Santos
- 2007

We analyze a stochastic growth model with lags in the operation of new technologies. Stock values are impacted by news on technological innovations and some other external shocks affecting the economy. We assess the quantitative importance of various macroeconomic variables in accounting for both the observed volatility of stock values and the less… (More)

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