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来源类型Working Paper
规范类型报告
DOI10.3386/w18501
来源IDWorking 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
URLhttps://www.nber.org/papers/w18501
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/576176
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Kenneth L. Judd,Lilia Maliar,Serguei Maliar. Merging Simulation and Projection Approaches to Solve High-Dimensional Problems. 2012.
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