We develop a projection method that can solve dynamic economic models with a large number of state variables. A distinctive feature of our method is that it operates on the ergodic set realized in equilibrium: we simulate a model, distinguish clusters on simulated series and use the clusters'...

We develop a projection method that can solve dynamic economic models with a large number of state variables. A distinctive feature of our method is that it operates on the ergodic set realized in equilibrium: we simulate a model, distinguish clusters on simulated series and use the clusters'...

How wrong could policymakers be when using linearized solutions to their macroeconomic models instead of nonlinear global solutions? This question became of much practical interest during the Great Recession and the recent zero lower bound crisis. We assess the importance of nonlinearities in a...

We explore alternative approaches to numerical solutions of large rational expectations models. We discuss and compare several current alternatives, focussing on the tradeoffs in accuracy, space, and speed. The models range from representative agent models with many goods and capital stocks, to...

Efficient, accurate, multi-dimensional, numerical integration has become an important tool for approximating the integrals which arise in modern economic models built on unobserved heterogeneity, incomplete information, and uncertainty. This paper demonstrates that polynomialbased rules...