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This paper describes the theory/code on which SparseGrid is based:
Heiss F, Winschel V (2008). “Likelihood approximation by numerical integration on sparse grids.” Journal of Econometrics, 144(1), 62–80.
More information is available from the website: http://www.sparse-grids.de
Corresponding BibTeX entry:
@Article{, title = {Likelihood approximation by numerical integration on sparse grids}, author = {Florian Heiss and Viktor Winschel}, journal = {Journal of Econometrics}, volume = {144}, number = {1}, pages = {62--80}, year = {2008}, }
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.