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Computing Stochastic Dynamic Economic Models with a Large Number of State Variables

其他書名	A Description and Application of a Smolyak-collocation Method
出版	National Bureau of Economic Research, 2007
URL	http://books.google.com.hk/books?id=FhHwAAAAMAAJ&hl=&source=gbs_api

註釋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).