Solving heterogeneous-agent models with parameterized cross-sectional distributions
Yann Algan,
Olivier Allais () and
Wouter den Haan
Additional contact information
Olivier Allais: CORELA - Laboratoire de Recherche sur la Consommation - INRA - Institut National de la Recherche Agronomique
Post-Print from HAL
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.
Keywords: Incomplete markets; Numerical solutions; Projection methods; Simulations (search for similar items in EconPapers)
Date: 2008-03
References: Add references at CitEc
Citations: View citations in EconPapers (29)
Published in Journal of Economic Dynamics and Control, 2008, 32 (3), pp.875 - 908. ⟨10.1016/j.jedc.2007.03.007⟩
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
Journal Article: 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) 
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:hal:journl:hal-03596370
DOI: 10.1016/j.jedc.2007.03.007
Access Statistics for this paper
More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().