Computing Stochastic Dynamic Economic Models with a Large Number of State Variables: A Description and Application of a Smolyak-Collocation Method
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This paper was prepared for the JEDC project on solving models with heterogeneous agents. We thank Ken Judd for clarifying discussions about the scope and focus of this paper and gratefully acknowledge financial support under NSF grant SES-0004376. The views expressed in this paper are solely our own and should not be interpreted as reflecting those of the Board of Governors, the staff of the Federal Reserve System, or the National Bureau of Economic Research.