02117cam a22002777 4500001000700000003000500007005001700012008004100029100002100070245015700091260006600248490004200314500001900356520083700375530006101212538007201273538003601345690012301381690010101504700001901605700002101624710004201645830007701687856003801764856003701802w18501NBER20150130104601.0150130s2012 mau||||fs|||| 000 0 eng d1 aJudd, Kenneth L.10aMerging Simulation and Projection Approaches to Solve High-Dimensional Problemsh[electronic resource] /cKenneth L. Judd, Lilia Maliar, Serguei Maliar. aCambridge, Mass.bNational Bureau of Economic Researchc2012.1 aNBER working paper seriesvno. w18501 aNovember 2012.3 aWe introduce an algorithm for solving dynamic economic models that merges stochastic simulation and projection approaches: we use simulation to approximate the ergodic measure of the solution, we construct a fixed grid covering the support of the constructed ergodic measure, and we use projection techniques to accurately solve the model on that grid. The grid construction is the key novel piece of our analysis: we select an ε-distinguishable subset of simulated points that covers the support of the ergodic measure roughly uniformly. The proposed algorithm is tractable in problems with high dimensionality (hundreds of state variables) on a desktop computer. As an illustration, we solve one- and multicountry neoclassical growth models and a large-scale new Keynesian model with a zero lower bound on nominal interest rates. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web. 7aC61 - Optimization Techniques • Programming Models • Dynamic Analysis2Journal of Economic Literature class. 7aC63 - Computational Techniques • Simulation Modeling2Journal of Economic Literature class.1 aMaliar, Lilia.1 aMaliar, Serguei.2 aNational Bureau of Economic Research. 0aWorking Paper Series (National Bureau of Economic Research)vno. w18501.4 uhttp://www.nber.org/papers/w1850141uhttp://dx.doi.org/10.3386/w18501