Estimating linearized heterogeneous agent models using panel data

Tamás K. Papp and Michael Reiter

Journal of Economic Dynamics and Control, 2020, vol. 115, issue C

Abstract: We develop a method to estimate heterogeneous agent models that uses not only time series of macroeconomic aggregates, but can also incorporate micro level data (repeated cross-section or panel). The micro data may be collected at lower frequency and time-aggregated. The method is based on the linearization approach of Reiter (2009), combined with optimal state aggregation as in Reiter (2010). The model may contain decision problems with both continuous and discrete choice. Linearity of the model solution allows fast computation of second moments and likelihood. We discuss various computational devices to maximize the speed of the estimation.

JEL-codes: C63 C68 E21 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:115:y:2020:i:c:s0165188920300506

DOI: 10.1016/j.jedc.2020.103881

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