Solving heterogeneous-agent models with parameterized cross-sectional distributions

Yann Algan, Olivier Allais () and Wouter den Haan
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Olivier Allais: CORELA - Laboratoire de Recherche sur la Consommation - INRA - Institut National de la Recherche Agronomique

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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.

Keywords: Incomplete markets; Numerical solutions; Projection methods; Simulations (search for similar items in EconPapers)
Date: 2008-03
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Citations: View citations in EconPapers (29)

Published in Journal of Economic Dynamics and Control, 2008, 32 (3), pp.875 - 908. ⟨10.1016/j.jedc.2007.03.007⟩

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Related works:
Journal Article: Solving heterogeneous-agent models with parameterized cross-sectional distributions (2008)
Working Paper: Solving heterogeneous-agent models with paramaterized cross-sectional distribution (2008)
Working Paper: Solving heterogeneous-agent models with paramaterized cross-sectional distribution (2008)
Working Paper: Solving Heterogeneous-Agent Models with Parameterized Cross-Sectional Distributions (2007)
Working Paper: Solving Heterogeneous-agent Models with Parameterized Cross-sectional Distributions (2007)
Working Paper: Solving Heterogeneous-agent Models with Parameterized Cross-sectional Distributions (2007)
Working Paper: Solving heterogeneous-agent models with parameterized cross-sectional distributions (2006)
Working Paper: Solving Heterogeneous-agent Models with Parameterized Cross-sectional Distributions (2006)
Working Paper: Solving Heterogeneous-agent Models with Parameterized Cross-sectional Distributions (2006)
Working Paper: Solving heterogeneous-agent models with parameterized cross-sectional distributions (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03596370

DOI: 10.1016/j.jedc.2007.03.007

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