Code for A General Endogenous Grid Method for Multi-Dimensional Models with Non-Convexities and Constraints, Druedahl and Jørgensen, 2017, Journal of Economic Dynamics and Control, 74.

Python-version: See ConsumptionSavingNotebooks.

This version of the code differ from the one used in the paper due to changes in MATLABs MEX setup.

The code is written and tested for 64-bit Windows machines using MATLAB 2018b. It requires MATLAB and a C++ compiler.

Tested using Microsoft Visual Studio 2017 Community Edition (free): https://visualstudio.microsoft.com/downloads/.

• For NLopt see cfuncs\ReadMe\NLopt.txt
• For vectorclass see cfuncs\ReadMe_vectorclass.txt.

All MATLAB files are in the main folder.

• The subfolder \cfuncs contains all the C-files.
• The subfolder \data is used for storing solution data.
• The subfolder \figures are used for storing printed figures.

• fun.m: contains various MATLAB functions.
• egmfun.m contains MATLAB functions unique for EGM.
• solve.m: contains MATLAB functions for solving.

• SetupPar.m: function for setting the parameter struct.
• accuracy.m: computes the speed and accuracy measures used in the paper for.
• main.m: solves the model for selected specifications and prints figures.
• funfig.m: containt MATLAB functions for printing.

• SetupPar_3d.m: function for setting the parameter struct.
• accuracy_3d.m: computes the speed and accuracy measures used in the paper for.
• main_3d.m: solves the model for selected specifications and prints figures.
• funfig_3d.m: containt MATLAB functions for printing.

• test_EGM.m: simple test file for running the algorithm.
• illustrate_upperenvelope.m: create upper envelope illustrations.

• mexVFI.cpp: solution algorithm with VFI.
• mexVFI_NLopt.cpp: solution algorithm with VFI and NLopt.
• mexUpperEnvelopeToCommon.cpp: G2EGM upper envelope and interpolation to common grid.
• mex_acon_grid.cpp: construction of acon grid for 3-dimensional model.
• mesh_E.cpp: construction of w, wa and wb.
• mesh_E_vec.cpp: construction of w, wa and wb using some vector operations.
• base_funcs.c: various C++-functions.
• mesh_interp.cpp: interpolation function.
• HighResTimer_class.hpp: timing function.