Although almost nonexistent 15 years ago, there are now numerous papers that analyze models with both aggregate uncertainty and a large number—typically a continuum—of heterogeneous agents. These models make it possible to study whether macroeconomic fluctuations affect different agents...

We describe and compare numerical methods used to approximate equilibrium bid functions in models of auctions as games of incomplete information. In such games, private values are modeled as draws from bidder-specific type distributions and pay-your-bid rules are used to determine transactions...