Limited-Information Estimation of Heterogeneous Agent Models

Laura Liu, Mikkel Plagborg-M{\o}ller and Nelson Matthew P. Tan

Papers from arXiv.org

Abstract: We develop a method for estimating and testing a single block of a macroeconomic model with heterogeneous agents, without placing assumptions on the structure of the rest of the economy. In a large class of models, individual agents' decisions depend on the macroeconomy only through their expectations of the evolution of a finite-dimensional vector of "sufficient statistics" (e.g., asset returns or aggregate earnings). Our estimator selects the structural parameters that provide the best model-consistent fit between empirical impulse responses with respect to identified macro shocks of (a) cross-sectional moments of agent choices (e.g., moments of consumption) and (b) the vector of sufficient statistics. In a simulation illustration, we estimate a two-asset heterogeneous household model block without restricting production, firm investment, financial intermediation, monetary policy, trade, etc.

Date: 2026-08
References: Add references at CitEc
Citations:

Downloads: (external link)
https://arxiv.org/pdf/2608.13953 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2608.13953

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().