Computing Equilibria of Stochastic Heterogeneous Agent Models Using Decision Rule Histories

Marcelo Veracierto

No WP-2020-05, Working Paper Series from Federal Reserve Bank of Chicago

Abstract: This paper introduces a general method for computing equilibria with heterogeneous agents and aggregate shocks that is particularly suitable for economies with private information. Instead of the cross-sectional distribution of agents across individual states, the method uses as a state variable a vector of spline coefficients describing a long history of past individual decision rules. Applying the computational method to a Mirrlees RBC economy with known analytical solution recovers the solution perfectly well. This test provides considerable confidence on the accuracy of the method.

Keywords: Computational methods; heterogeneous agents; business cycles; private information (search for similar items in EconPapers)
JEL-codes: C63 D82 E32 (search for similar items in EconPapers)
Pages: 57
Date: 2020-02-18
New Economics Papers: this item is included in nep-cmp, nep-dge, nep-mac and nep-ore
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Computing Equilibria of Stochastic Heterogeneous Agent Models Using Decision Rule Histories (2020)
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DOI: 10.21033/wp-2020-05

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