| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0345 |
| 来源ID | Technical Working Paper 0345 |
| Computing Stochastic Dynamic Economic Models with a Large Number of State Variables: A Description and Application of a Smolyak-Collocation Method | |
| Benjamin Malin; Dirk Krueger; Felix Kubler | |
| 发表日期 | 2007-10-10 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | We describe a sparse grid collocation algorithm to compute recursive solutions of dynamic economies with a sizable number of state variables. We show how powerful this method may be in applications by computing the nonlinear recursive solution of an international real business cycle model with a substantial number of countries, complete insurance markets and frictions that impede frictionless international capital flows. In this economy the aggregate state vector includes the distribution of world capital across different countries as well as the exogenous country-specific technology shocks. We use the algorithm to efficiently solve models with 2, 4, and 6 countries (i.e., up to 12 continuous state variables). |
| 主题 | Microeconomics ; Mathematical Tools ; Econometrics ; Data Collection ; International Economics ; International Macroeconomics |
| URL | https://www.nber.org/papers/t0345 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571151 |
| 推荐引用方式 GB/T 7714 | Benjamin Malin,Dirk Krueger,Felix Kubler. Computing Stochastic Dynamic Economic Models with a Large Number of State Variables: A Description and Application of a Smolyak-Collocation Method. 2007. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0345.pdf（371KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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