Solving heterogeneous-agent models with parameterized cross-sectional distributions
A new algorithm is developed to solve models with heterogeneous agents and aggregate uncertainty. Projection methods are the main building blocks of the algorithm and - in contrast to the most popular solution procedure - simulations only play a very minor role. The paper also develops a new simulation procedure that not only avoids cross-sectional sampling variation but is 10 (66) times faster than simulating an economy with 10,000 (100,000) agents. Because it avoids cross-sectional sampling variation, it can generate an accurate representation of the whole cross-sectional distribution. Finally, the paper outlines a set of accuracy tests.
Year of publication: |
2008
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Authors: | Algan, Yann ; Allais, Olivier ; Haan, Wouter J. Den |
Published in: |
Journal of Economic Dynamics and Control. - Elsevier, ISSN 0165-1889. - Vol. 32.2008, 3, p. 875-908
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Publisher: |
Elsevier |
Saved in:
Online Resource
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