Analysis of Lithuanian aggregate consumption by means of dynamic programming
In the paper, we model household consumption from the perspective of the modern representative agent-based approaches. Household chooses a stochastic consumption plan to maximise the expected value of their time-additive nonlinear utility function subject to asset budget constraint. We apply the dyn...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Vilnius University Press
2009-12-01
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| Series: | Lietuvos Matematikos Rinkinys |
| Subjects: | |
| Online Access: | https://www.journals.vu.lt/LMR/article/view/17985 |
| _version_ | 1819046519062396928 |
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| author | Audronė Jakaitienė Antanas Žilinskas Julius Žilinskas |
| author_facet | Audronė Jakaitienė Antanas Žilinskas Julius Žilinskas |
| author_sort | Audronė Jakaitienė |
| collection | DOAJ |
| description | In the paper, we model household consumption from the perspective of the modern representative agent-based approaches. Household chooses a stochastic consumption plan to maximise the expected value of their time-additive nonlinear utility function subject to asset budget constraint. We apply the dynamic programming for this multi-period problem using the Bellman equation. Beforehand we estimate the structural parameters of the given problem. We employ numerical methods to compute equilibrium. Finally we obtain that observed consumption was just below equilibrium in 2008. |
| first_indexed | 2024-12-21T10:45:45Z |
| format | Article |
| id | doaj.art-b07edc7f9bb54e22ac40f4ffe30f7029 |
| institution | Directory Open Access Journal |
| issn | 0132-2818 2335-898X |
| language | English |
| last_indexed | 2024-12-21T10:45:45Z |
| publishDate | 2009-12-01 |
| publisher | Vilnius University Press |
| record_format | Article |
| series | Lietuvos Matematikos Rinkinys |
| spelling | doaj.art-b07edc7f9bb54e22ac40f4ffe30f70292022-12-21T19:06:48ZengVilnius University PressLietuvos Matematikos Rinkinys0132-28182335-898X2009-12-0150proc. LMS10.15388/LMR.2009.55Analysis of Lithuanian aggregate consumption by means of dynamic programmingAudronė Jakaitienė0Antanas Žilinskas 1Julius Žilinskas 2Institute of Mathematics and InformaticsInstitute of Mathematics and InformaticsInstitute of Mathematics and InformaticsIn the paper, we model household consumption from the perspective of the modern representative agent-based approaches. Household chooses a stochastic consumption plan to maximise the expected value of their time-additive nonlinear utility function subject to asset budget constraint. We apply the dynamic programming for this multi-period problem using the Bellman equation. Beforehand we estimate the structural parameters of the given problem. We employ numerical methods to compute equilibrium. Finally we obtain that observed consumption was just below equilibrium in 2008.https://www.journals.vu.lt/LMR/article/view/17985consumptiondynamic programmingstochastic optimization |
| spellingShingle | Audronė Jakaitienė Antanas Žilinskas Julius Žilinskas Analysis of Lithuanian aggregate consumption by means of dynamic programming Lietuvos Matematikos Rinkinys consumption dynamic programming stochastic optimization |
| title | Analysis of Lithuanian aggregate consumption by means of dynamic programming |
| title_full | Analysis of Lithuanian aggregate consumption by means of dynamic programming |
| title_fullStr | Analysis of Lithuanian aggregate consumption by means of dynamic programming |
| title_full_unstemmed | Analysis of Lithuanian aggregate consumption by means of dynamic programming |
| title_short | Analysis of Lithuanian aggregate consumption by means of dynamic programming |
| title_sort | analysis of lithuanian aggregate consumption by means of dynamic programming |
| topic | consumption dynamic programming stochastic optimization |
| url | https://www.journals.vu.lt/LMR/article/view/17985 |
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