The calculation of likelihood functions of many econometric models requires the evaluation of integrals without analytical solutions. Approaches for extending Gaussian quadrature to multiple dimensions discussed in the literature are either very specific or suffer from exponentially rising...

We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids to overcome the curse of dimensionality for approximations. We apply sparse grids to a global polynomial approximation of the model solution, to the quadrature of...