Solving the incomplete markets model with aggregate uncertainty using parameterized cross-sectional distributions

Yann Algan, Olivier Allais () and Wouter J den Haan
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Olivier Allais: ALISS - Alimentation et sciences sociales - INRA - Institut National de la Recherche Agronomique
Wouter J den Haan: Department of Economics - UvA - University of Amsterdam [Amsterdam] = Universiteit van Amsterdam

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Abstract: This note describes how the incomplete markets model with aggregate uncertainty in Den Haan et al. [Comparison of solutions to the incomplete markets model with aggregate uncertainty. Journal of Economic Dynamics and Control, this issue] is solved using standard quadrature and projection methods. This is made possible by linking the aggregate state variables to a parameterized density that describes the cross-sectional distribution. A simulation procedure is used to find the best shape of the density within the class of approximating densities considered. This note compares several simulation procedures in which there is—as in the model—no cross-sectional sampling variation.

Keywords: PROJECTION METHODS; Numerical Solutions; Projection Methods; Simulations; NUMERICAL SOLUTIONS; SIMULATIONS (search for similar items in EconPapers)
Date: 2010-01
Note: View the original document on HAL open archive server: https://hal.inrae.fr/hal-02662044v1
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Published in Journal of Economic Dynamics and Control, 2010, 34 (1), pp.59 - 68. ⟨10.1016/j.jedc.2009.03.010⟩

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Journal Article: Solving the incomplete markets model with aggregate uncertainty using parameterized cross-sectional distributions (2010)
Working Paper: Solving the incomplete markets model with aggregate uncertainty using parameterized cross-sectional distributions (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:spmain:hal-02662044

DOI: 10.1016/j.jedc.2009.03.010

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