Solving the incomplete markets model with aggregate uncertainty using 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, 2010, vol. 34, issue 1, 59-68

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: Numerical; solutions; Projection; methods; Simulations (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (31)

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Related works:
Working Paper: 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:eee:dyncon:v:34:y:2010:i:1:p:59-68

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