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Solving, Estimating, and Selecting Nonlinear Dynamic Models Without The Curse of Dimensionality.

We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids to overcome the curse of dimensionality for approximations. We apply sparse grids to a global polynomial approximation of the model solution, to the quadrature of integrals ar...

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Published in:Econometrica Vol. 78; no. 2; pp. 803 - 822
Main Authors: Winschel, Viktor, Krätzig, Markus
Format: Article
Published: Wiley-Blackwell March 2010
Subjects:
Bayesian analysis
Economic equilibrium
Estimation theory
Online Access:View this record in EBSCOhost