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Chapter 6. Solving and Simulating Models with Heterogeneous Agents and Aggregate Uncertainty
Algan, Yann; Allais, Olivier; Den Haan, Wouter J.; … - In: Handbook of computational economics : volume 3, (pp. 277-324). 2014
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...
Persistent link: https://www.econbiz.de/10014025716
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Heterogeneity in macroeconomics and the minimal econometricinterpretation for model comparison
Cozzi, Marco - 2014
This paper formally compares the fit of various versions of the incomplete markets model with aggregate uncertainty, relying on a simple Bayesian empirical framework. The models differ in the degree of households' heterogeneity, with a focus on the role of preferences. For every specification,...
Persistent link: https://www.econbiz.de/10011380826
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A machine learning projection method for macro-finance models
Valaitis, Vytautas; Villa, Alessandro T. - In: Quantitative Economics 15 (2024) 1, pp. 145-173
an economic model in the spirit of the parameterized expectations algorithm (PEA) with stochastic simulation. When the … set of state variables is generated by a stochastic simulation, it is likely to suffer from multicollinearity. We show …
Persistent link: https://www.econbiz.de/10014536897
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A machine learning projection method for macro-finance models
Valaitis, Vytautas; Villa, Alessandro T. - 2022
This paper develops a simulation-based solution method to solve large state space macrofinance models using machine …
Persistent link: https://www.econbiz.de/10013364540
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Incomplete-Market Equilibria Solved Recursively on anEvent Tree
Dumas, Bernard; Lyasoff, Andrew - National Centre of Competence in ResearchFinancial … - 2008
We develop a method that allows one to compute incomplete-market equilibria routinely forMarkovian equilibria (when they exist). The main difficulty to be overcome arises from the setof state variables. There are, of course, exogenous state variables driving the economy but, in anincomplete...
Persistent link: https://www.econbiz.de/10005868691
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Heterogeneity in macroeconomics and the minimal econometricinterpretation for model comparison
Cozzi, Marco - 2014
This paper formally compares the fit of various versions of the incomplete markets model with aggregate uncertainty, relying on a simple Bayesian empirical framework. The models differ in the degree of households' heterogeneity, with a focus on the role of preferences. For every specification,...
Persistent link: https://www.econbiz.de/10010434845
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A machine learning projection method for macro-finance models
Valaitis, Vytautas; Villa, Alessandro T. - 2022
This paper develops a simulation-based solution method to solve large state space macrofinance models using machine …
Persistent link: https://www.econbiz.de/10013202712
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Recursive equilibrium in Krusell and Smith (1998)
Cao, Dan Vu - 2018
This paper uses the tools developed in the literature on dynamically incomplete markets with finite agents to study the large economy with a continuum of agents and both aggregate and idiosyncratic shocks in Krusell and Smith (1998). It establishes the existence of sequential competitive...
Persistent link: https://www.econbiz.de/10011919029
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Approximating equilibria with ex-post heterogeneity and aggregate risk
Pröhl, Elisabeth - 2017
Dynamic stochastic general equilibrium models with ex-post heterogeneity due to idiosyncratic risk have to be solved numerically. This is a nontrivial task as the cross-sectional distribution of endogenous variables becomes an element of the state space due to aggregate risk. Existing global...
Persistent link: https://www.econbiz.de/10011875645
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Solving Heterogeneous-agent Models with Parameterized Cross-sectional Distributions
Algan, Yann; Allais, Olivier; Den Haan, Wouter J - Sciences économiques, Sciences Po - 2007
disadvantages of the prevailing algorithm that strongly relies on simulation techniques and is easier to implement than existing … possible to avoid Monte Carlo integration. The paper also develops a new simulation procedure that not only avoids cross … finite number of agents. This procedure can help to improve the efficiency of the most popular algorithm in which simulation …
Persistent link: https://www.econbiz.de/10010929054