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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w18501 |
来源ID | Working Paper 18501 |
Merging Simulation and Projection Approaches to Solve High-Dimensional Problems | |
Kenneth L. Judd; Lilia Maliar; Serguei Maliar | |
发表日期 | 2012-11-01 |
出版年 | 2012 |
语种 | 英语 |
摘要 | We introduce an algorithm for solving dynamic economic models that merges stochastic simulation and projection approaches: we use simulation to approximate the ergodic measure of the solution, we construct a fixed grid covering the support of the constructed ergodic measure, and we use projection techniques to accurately solve the model on that grid. The grid construction is the key novel piece of our analysis: we select an ε-distinguishable subset of simulated points that covers the support of the ergodic measure roughly uniformly. The proposed algorithm is tractable in problems with high dimensionality (hundreds of state variables) on a desktop computer. As an illustration, we solve one- and multicountry neoclassical growth models and a large-scale new Keynesian model with a zero lower bound on nominal interest rates. |
主题 | Microeconomics ; Mathematical Tools |
URL | https://www.nber.org/papers/w18501 |
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/576176 |
推荐引用方式 GB/T 7714 | Kenneth L. Judd,Lilia Maliar,Serguei Maliar. Merging Simulation and Projection Approaches to Solve High-Dimensional Problems. 2012. |
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 | ||
w18501.pdf(974KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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