I investigate whether the popular Krusell and Smith algorithm used to solve heterogeneous-agent economies with aggregate uncertainty and incomplete markets is likely to be subject to multiple self-fulfilling equilibria. In a benchmark economy, the parameters representing the equilibrium...

This article presents a novel computational approach to solving models with both uninsurable idiosyncratic and aggregate risk that uses projection methods, simulation and perturbation. The approach is shown to be both as efficient and as accurate as existing methods on a model based on Krusell...

The paper deals with the application of Minimum Weighted Residual Methods (MWR) in intertemporal optimizing models of endogenous economic growth. In the 1st part of the paper the basics of the MWR method are described. Attention is mainly concentrated on one special class of MWR methods: the...

Linear Methods are often used to compute approximate solutions to dynamic models, as these models often cannot be solved analytically. Linear methods are very popular, as they can easily be implemented. Also, they provide a useful starting point for understanding more elaborate numerical...

Many economic models are completed by finding a parameter vector that optimizes a function f, a task that only be accomplished by iterating from a starting vector. Use of a generic iterative optimizer to carry out this task can waste enormous amounts of computation when applied to a class of...

The conventional lists of stylized facts are composed of sentences about the comovement of ordinary macroeconomic time-series and the business cycle. It is argued that these lists are incomplete because heterogeneous agent stylized facts are missing. But there is evidence about the heterogeneity...

An essential feature of Schumpeter’s business cycle theory is the attempt to explain the macrodynamics of an economy by means of innovative heterogeneous agents. It has been criticized for being theoretically inconsistent as well as for its lack of empirical confirmation. In particular, the...

The estimation of regressions models with two-way error component disurbances, is considered for the case where both the random effects are non-spherically distributed. The usual approach that first transforms the effects into uncorrelated ones and then applies within and between...

This paper describes briefly main functionalities and exploited numerical methods of the package CompDTIMe which consists of several Matlab routines. This package allows one to calculate two-dimensional bifurcation diagrams, to find periodic points not depending on whether they are attracting,...