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Solving discrete time heterogeneous agent models with aggregate risk and many idiosyncratic states by perturbation

Bayer, Christian; Luetticke, Ralph - In: Quantitative Economics 11 (2020) 4, pp. 1253-1288

This paper describes a method for solving heterogeneous agent models with aggregate risk and many idiosyncratic states formulated in discrete time. It extends the method proposed by Reiter (2009) and complements recent work by Ahn, Kaplan, Moll, Winberry, and Wolf (2017) on how to solve such...

Persistent link: https://www.econbiz.de/10013189734

Solving discrete time heterogeneous agent models with aggregate risk and many idiosyncratic states by perturbation

Bayer, Christian; Luetticke, Ralph - In: Quantitative economics : QE ; journal of the … 11 (2020) 4, pp. 1253-1288

Persistent link: https://www.econbiz.de/10012316346

Markov-chain approximations for life-cycle models

Fella, Giulio; Gallipoli, Giovanni; Pan, Jutong - 2017

Non-stationary income processes are standard in quantitative life-cycle models, prompted by the observation that within-cohort income inequality increases with age. This paper generalizes Tauchen (1986) and Rouwenhorst's (1995) discretization methods to non-stationary AR(1) processes. We...

Persistent link: https://www.econbiz.de/10011694754

Discretizing nonlinear, non-Gaussian Markov processes with exact conditional moments

Farmer, Leland E.; Akira Toda, Alexis - In: Quantitative economics : QE ; journal of the … 8 (2017) 2, pp. 651-683

order moments of the conditional distributions using maximum entropy. In contrast to existing methods, our approach is not …

Persistent link: https://www.econbiz.de/10011801601

Extreme value theory as a theoretical background for power law behavior

Alfarano, Simone; Lux, Thomas - 2010

theory, which provide a statistical justification for the emergence of power laws as limiting behavior for extreme … fluctuations. The remarkable generality of the theory allows to abstract from the details of the system under investigation, and … therefore allows its application in many diverse fields. Moreover, this theory offers new powerful techniques for the estimation …

Persistent link: https://www.econbiz.de/10008654245

On Distributions of Ratios

Broda, Simon A. - 2020

A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...

Persistent link: https://www.econbiz.de/10012856826

Increasing returns to scale and welfare : ranking the multiple deterministic equilibria

Bambi, Mauro; Saïdi, Aurélien - 2008

We consider a real business cycle model with a productive externality and an aggregate non- convex technology set µa la Benhabib and Farmer embodying capacity utilization, which exhibits indeterminacy of the steady state and multiplicity of deterministic equilibria under plausible values of the...

Persistent link: https://www.econbiz.de/10003762308

Computation of business-cycle models with the Generalized Schur Method

Heer, Burkhard; Maußner, Alfred - 2009

We describe an algorithm that is able to compute the solution of a singular linear difference system under rational expectations. The algorithm uses the Generalized Schur Factorization and is illustrated by a simple example. -- stochastic dynamic general equilibrium ; linear solution methods ;...

Persistent link: https://www.econbiz.de/10003922867

Computation of business cycle models : a comparison of numerical methods

Heer, Burkhard; Maußner, Alfred - 2004

method, the log-linearization of the model around the steady state, is found to be most convenient and appropriate for the …

Persistent link: https://www.econbiz.de/10011449266

Risk Aversion and Power-Law Distribution of Macroeconomic Disasters

Brzezinski, Michal - 2014

The coefficient of relative risk aversion (CRRA) is notoriously difficult to estimate. Recently, Barro and Jin (On the size distribution of macroeconomic disasters, Econometrica 2011; 79(3): 434–455) have come up with a new estimation approach that fits a power-law model to the tail of...

Persistent link: https://www.econbiz.de/10013060115