Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/262018
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
Volkswirtschaftliche Diskussionsreihe No. 341
Verlag: 
Universität Augsburg, Institut für Volkswirtschaftslehre, Augsburg
Zusammenfassung: 
Polynomial chaos expansion (PCE) provides a method that enables the user to represent a quantity of interest (QoI) of a model's solution as a series expansion of uncertain model inputs, usually its parameters. Among the QoIs are the policy function, the second moments of observables, or the posterior kernel. Hence, PCE sidesteps the repeated and time consuming evaluations of the model's outcomes. The paper discusses the suitability of PCE for computational economics. We, therefore, introduce to the theory behind PCE, analyze the convergence behavior for different elements of the solution of the standard real business cycle model as illustrative example, and check the accuracy, if standard empirical methods are applied. The results are promising, both in terms of accuracy and efficiency.
Schlagwörter: 
Polynomial Chaos Expansion
parameter inference
parameter uncertainty
solution methods
JEL: 
C11
C13
C32
C63
Dokumentart: 
Working Paper

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