Using a hyperbolic cross to solve non-linear macroeconomic models

Dennis, R. (2024) Using a hyperbolic cross to solve non-linear macroeconomic models. Journal of Economic Dynamics and Control, (doi: 10.1016/j.jedc.2024.104860) (In Press)

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.

• Item Type: Articles
• Keywords: Hyperbolic cross, Smolyak, non-linear models, projection methods.
• Status: In Press
• Refereed: Yes
• Glasgow Author(s) Enlighten ID: Dennis, Professor Richard
• Authors: Dennis, R.
• College/School: College of Social Sciences > Adam Smith Business School > Economics
• Journal Name: Journal of Economic Dynamics and Control
• Publisher: Elsevier
• ISSN: 0165-1889
• ISSN (Online): 1879-1743
• Published Online: 09 April 2024
• Copyright Holders: Copyright © 2024 The Authors
• First Published: First published in Journal of Economic Dynamics and Control 2024
• Publisher Policy: Reproduced under a Creative Commons License