A Cluster-Grid Projection Method: Solving Problems with High Dimensionality
AbstractWe develop a projection method that can solve dynamic economic models with a large number of state variables. A distinctive feature of our method is that it operates on the ergodic set realized in equilibrium: we simulate a model, distinguish clusters on simulated series and use the clusters’ centers as a grid for projections. Making the grid endogenous to the model allows us to avoid costs associated with finding a solution in areas of state space that are never visited in equilibrium. On a standard desktop computer, we calculate linear and quadratic solutions to a multi-country growth model with up to 400 and 80 state variables, respectively. Our solutions are global, and their accuracy does not rapidly decline away from steady state.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 15965.
Date of creation: May 2010
Date of revision:
Note: EFG TWP
Contact details of provider:
Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Web page: http://www.nber.org
More information through EDIRC
Find related papers by JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- S. Borağan Aruoba & Frank Schorfheide, 2013.
"Macroeconomic Dynamics Near the ZLB: A Tale of Two Equilibria,"
NBER Working Papers
19248, National Bureau of Economic Research, Inc.
- S. Boragan Aruoba & Frank Schorfheide, 2013. "Macroeconomic dynamics near the ZLB: a tale of two equilibria," Working Papers 13-29, Federal Reserve Bank of Philadelphia.
- Kenneth L. Judd & Lilia Maliar & Serguei Maliar & Rafael Valero, 2013.
"Smolyak Method for Solving Dynamic Economic Models: Lagrange Interpolation, Anisotropic Grid and Adaptive Domain,"
NBER Working Papers
19326, National Bureau of Economic Research, Inc.
- Kenneth L. Judd & Lilia Maliar & Serguei Maliar & Rafael Valero, 2013. "Smolyak Method for Solving Dynamic Economic Models: Lagrange Interpolation, Anisotropic Grid and Adaptive Domain," BYU Macroeconomics and Computational Laboratory Working Paper Series 2013-02, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
- Kenneth Judd & Lilia Maliar & Rafael Valero & Serguei Maliar, 2013. "Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain," Working Papers. Serie AD 2013-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Regassa Senbeta S., 2011.
"How applicable are the New Keynesian DSGE models to a typical Low-Income Economy?,"
2011016, University of Antwerp, Faculty of Applied Economics.
- Senbeta, Sisay, 2011. "How applicable are the new keynesian DSGE models to a typical low-income economy?," MPRA Paper 30931, University Library of Munich, Germany.
- Alexander W. Richter & Nathaniel A. Throckmorton, 2013. "The Zero Lower Bound: Frequency, Duration, and Determinacy," Auburn Economics Working Paper Series auwp2013-16, Department of Economics, Auburn University.
- Grey Gordon, 2011.
"Computing Dynamic Heterogeneous-Agent Economies: Tracking the Distribution,"
PIER Working Paper Archive
11-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Grey Gordon, 2011. "Code for "Computing Dynamic Heterogeneous-Agent Economies: Tracking the Distribution"," QM&RBC Codes 186, Quantitative Macroeconomics & Real Business Cycles.
- Kenneth L. Judd & Lilia Maliar & Serguei Maliar, 2011. "How to Solve Dynamic Stochastic Models Computing Expectations Just Once," NBER Working Papers 17418, National Bureau of Economic Research, Inc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.