Solving Heterogeneous-Agent Models with Parameterized Cross-Sectional Distributions

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

No 6062, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: A new algorithm is developed to solve models with heterogeneous agents and aggregate uncertainty that avoids some disadvantages of the prevailing algorithm that strongly relies on simulation techniques and is easier to implement than existing algorithms. A key aspect of the algorithm is a new procedure that parameterizes the cross-sectional distribution, which makes it possible to avoid Monte Carlo integration. The paper also develops a new simulation procedure that not only avoids cross-sectional sampling variation but is also more than ten times faster than the standard procedure of simulating an economy with a large but finite number of agents. This procedure can help to improve the efficiency of the most popular algorithm in which simulation procedures play a key role.

Keywords: Incomplete markets; Numerical solution; Projection method; Simulation (search for similar items in EconPapers)
JEL-codes: C63 D52 (search for similar items in EconPapers)
Date: 2007-01
New Economics Papers: this item is included in nep-cmp and nep-dge
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Solving heterogeneous-agent models with parameterized cross-sectional distributions (2008)
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 (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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