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Approximating High-Dimensional Dynamic Models: Sieve Value Function Iteration

Publication ,  Journal Article
Arcidiacono, P; Bayer, P; Bugni, FA; James, J
Published in: Advances in Econometrics
January 1, 2013

Many dynamic problems in economics are characterized by large state spaces which make both computing and estimating the model infeasible. We introduce a method for approximating the value function of highdimensional dynamic models based on sieves and establish results for the (a) consistency, (b) rates of convergence, and (c) bounds on the error of approximation. We embed this method for approximating the solution to the dynamic problem within an estimation routine and prove that it provides consistent estimates of the modelik's parameters. We provide Monte Carlo evidence that our method can successfully be used to approximate models that would otherwise be infeasible to compute, suggesting that these techniques may substantially broaden the class of models that can be solved and estimated. Copyright © 2013 by Emerald Group Publishing Limited.

Duke Scholars

Published In

Advances in Econometrics

DOI

ISSN

0731-9053

Publication Date

January 1, 2013

Volume

31

Start / End Page

45 / 95

Related Subject Headings

  • Econometrics
 

Citation

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Arcidiacono, P., Bayer, P., Bugni, F. A., & James, J. (2013). Approximating High-Dimensional Dynamic Models: Sieve Value Function Iteration. Advances in Econometrics, 31, 45–95. https://doi.org/10.1108/S0731-9053(2013)0000032002
Arcidiacono, P., P. Bayer, F. A. Bugni, and J. James. “Approximating High-Dimensional Dynamic Models: Sieve Value Function Iteration.” Advances in Econometrics 31 (January 1, 2013): 45–95. https://doi.org/10.1108/S0731-9053(2013)0000032002.
Arcidiacono P, Bayer P, Bugni FA, James J. Approximating High-Dimensional Dynamic Models: Sieve Value Function Iteration. Advances in Econometrics. 2013 Jan 1;31:45–95.
Arcidiacono, P., et al. “Approximating High-Dimensional Dynamic Models: Sieve Value Function Iteration.” Advances in Econometrics, vol. 31, Jan. 2013, pp. 45–95. Manual, doi:10.1108/S0731-9053(2013)0000032002.
Arcidiacono P, Bayer P, Bugni FA, James J. Approximating High-Dimensional Dynamic Models: Sieve Value Function Iteration. Advances in Econometrics. 2013 Jan 1;31:45–95.
Journal cover image

Published In

Advances in Econometrics

DOI

ISSN

0731-9053

Publication Date

January 1, 2013

Volume

31

Start / End Page

45 / 95

Related Subject Headings

  • Econometrics