Solving heterogeneous-agent models with parameterized cross-sectional distributions

Yann Algan; Olivier Allais; Wouter J. Den Haan

doi:10.1016/j.jedc.2007.03.007

Solving heterogeneous-agent models with parameterized cross-sectional distributions

Yann Algan
, Olivier Allais
, Wouter J. Den Haan

France and IZA
AgroParisTech INRA
University of Amsterdam

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

32 Citations (Scopus)

Résumé

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.

langue originale	Anglais
Pages (de - à)	875-908
Nombre de pages	34
journal	Journal of Economic Dynamics and Control
Volume	32
Numéro de publication	3
Les DOIs	https://doi.org/10.1016/j.jedc.2007.03.007
état	Publié - 1 mars 2008
Modification externe	Oui

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10.1016/j.jedc.2007.03.007

Contient cette citation

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abstract = "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.",

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author = "Yann Algan and Olivier Allais and \{Den Haan\}, \{Wouter J.\}",

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KW - Incomplete markets

KW - Numerical solutions

KW - Projection methods

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Solving heterogeneous-agent models with parameterized cross-sectional distributions

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