EconPapers    
Economics at your fingertips  
 

Estimation of Heterogeneous Agent Models: A Likelihood Approach

Juan Parra-Alvarez (), Olaf Posch () and Mu-Chun Wang

No 6717, CESifo Working Paper Series from CESifo

Abstract: We study the statistical properties of heterogeneous agent models. Using a Bewley-Hugget-Aiyagari model we compute the density function of wealth and income and use it for likelihood inference. We study the finite sample properties of the maximum likelihood estimator (MLE) using Monte Carlo experiments on artificial cross-sections of wealth and income. We propose to use the Kullback-Leibler divergence to investigate identification problems that may affect inference. Our results suggest that the unrestricted MLE leads to considerable biases of some parameters. Calibrating weakly identified parameters allows to pin down the other unidentified parameter without compromising the estimation of the remaining parameters. We illustrate our approach by estimating the model for the U.S. economy using wealth and income data from the Survey of Consumer Finances.

Keywords: heterogeneous agent models; continuous-time; Fokker-Planck equations; Kullback-Leibler divergence; maximum likelihood (search for similar items in EconPapers)
JEL-codes: C10 C13 C63 E21 E24 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-ecm, nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp6717_0.pdf (application/pdf)

Related works:
Working Paper: Estimation of heterogeneous agent models: A likelihood approach (2020) Downloads
Working Paper: Estimation of heterogeneous agent models: A likelihood approach (2020) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_6717

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().

 
Page updated 2020-09-16
Handle: RePEc:ces:ceswps:_6717