Lecture 8: Continuous and Discrete Choice

This week we will look at the situation when we have both continuous and discrete choices in dynamic models. We will use several resources:

  1. We will focus our discussion on Iskhakov, Jørgensen, Rust, Schjerning, QE 2017 The Endogenous Grid Method for Discrete-Continuous Dynamic Choice Models with (or without) Taste Shocks.

  2. We discussed standard methods VFI and Euler Equation solver and simple EGM in lecture 7, so make sure to go back there and check out those notebooks again.

  3. We will use Fedor Iskhakov's slides from the 2019 DSE summer school. I am using those with Fedor's permission - they are much better than would I could ever come up with, so standing on the shoulder of giants! 🙏🏻 Thanks Fedor!

  4. We will have a look at my julia implementation of their matlab code.