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Computing Stochastic Dynamic Economic Models with a Large Number of State Variables A Description and Application of a Smolyak-Collocation Method.

Author: Felix Kubler; Benjamin Malin; Dirk Krueger; National Bureau of Economic Research.
Publisher: Cambridge, Mass. National Bureau of Economic Research 2007.
Series: Technical Working Paper Series (National Bureau of Economic Research), no. t0345.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Felix Kubler; Benjamin Malin; Dirk Krueger; National Bureau of Economic Research.
OCLC Number: 174212138
Notes: October 2007.
Description: 1 online resource.
Series Title: Technical Working Paper Series (National Bureau of Economic Research), no. t0345.
Responsibility: Benjamin Malin, Dirk Krueger, Felix Kubler.

Abstract:

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).

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