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A Cluster-Grid Projection Method: Solving Problems with High Dimensionality / Kenneth L. Judd, Lilia Maliar, Serguei Maliar.
- Format:
- Book
- Author/Creator:
- Judd, Kenneth L.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w15965.
- NBER working paper series no. w15965
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- A Cluster-Grid Projection Method
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2010.
- Summary:
- We develop a projection method that can solve dynamic economic models with a large number of state variables. A distinctive feature of our method is that it operates on the ergodic set realized in equilibrium: we simulate a model, distinguish clusters on simulated series and use the clusters' centers as a grid for projections. Making the grid endogenous to the model allows us to avoid costs associated with finding a solution in areas of state space that are never visited in equilibrium. On a standard desktop computer, we calculate linear and quadratic solutions to a multi-country growth model with up to 400 and 80 state variables, respectively. Our solutions are global, and their accuracy does not rapidly decline away from steady state.
- Notes:
- Print version record
- May 2010.
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