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Using a hyperbolic cross to solve non-linear macroeconomic models

The paper presents a sparse grid approximation method based on the hyperbolic cross and applies it to solve non-linear macroeconomic models. We show how the standard hyperbolic cross can be extended to give greater control over the approximating grid and we discuss how to implement an anisotropic hyperbolic cross. Applying the approximation method to four macroeconomic models, we establish that it delivers a level of accuracy in par or slightly better than Smolyak’s method and that it can produce good approximations using fewer points than Smolyak’s method
Year of publication:
[2021]
Authors: Dennis, Richard J.
Publisher: [S.l.] : SSRN
Subject: Makroökonometrie | Macroeconometrics | Theorie | Theory | Makroökonomik | Macroeconomics | Nichtlineare Regression | Nonlinear regression
Extent:
1 Online-Ressource (35 p)
Series:
CAMA Working Paper ; No. 93/2021
Type of publication: Book / Working Paper
Language: English
Notes:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 15, 2021 erstellt
Other identifiers:
10.2139/ssrn.3963472 [DOI]
Classification: C63 - Computational Techniques ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; e70
Source:
ECONIS - Online Catalogue of the ZBW
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013316085
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