Solving heterogeneous-agent models with parameterized cross-sectional distributions

Yann Algan, Olivier Allais () and Wouter J. Den Haan
Authors registered in the RePEc Author Service: Wouter Denhaan ()

Journal of Economic Dynamics and Control, 2008, vol. 32, issue 3, 875-908

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.

Date: 2008
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Citations: View citations in EconPapers (39)

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Related works:
Working Paper: 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:eee:dyncon:v:32:y:2008:i:3:p:875-908

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