Using a hyperbolic cross to solve non-linear macroeconomic models

Richard Dennis

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

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 in par or slightly better than Smolyak’s method and that it can produce good 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)
Pages: 35 pages
Date: 2021-11
New Economics Papers: this item is included in nep-cmp and nep-mac
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Using a hyperbolic cross to solve non-linear macroeconomic models (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2021-93

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