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},
  }