Using a hyperbolic cross to solve non-linear macroeconomic models

Richard Dennis

Journal of Economic Dynamics and Control, 2024, vol. 163, issue C

Abstract: The paper presents a sparse grid approximation method based on the hyperbolic cross and applies it to solve non-linear macroeconomic models. We show how the standard hyperbolic cross can be extended to give greater control over the approximating grid and we discuss how to implement an anisotropic hyperbolic cross. Applying the approximation method to four macroeconomic models, we establish that it delivers a level of accuracy on par or better than Smolyak's method and that it can produce accurate approximations using fewer points than Smolyak's method.

Keywords: Hyperbolic cross; Smolyak; Non-linear models; Projection methods (search for similar items in EconPapers)
JEL-codes: C63 E52 E70 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165188924000526
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Using a hyperbolic cross to solve non-linear macroeconomic models (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000526

DOI: 10.1016/j.jedc.2024.104860

Access Statistics for this article

Journal of Economic Dynamics and Control is currently edited by J. Bullard, C. Chiarella, H. Dawid, C. H. Hommes, P. Klein and C. Otrok

More articles in Journal of Economic Dynamics and Control from Elsevier
Bibliographic data for series maintained by Catherine Liu ().