Solving heterogeneous-agent models with paramaterized cross-sectional distribution

Yann Algan, Olivier Allais () and Wouter J. den Haan
Additional contact information
Olivier Allais: CORELA - Laboratoire de Recherche sur la Consommation - INRA - Institut National de la Recherche Agronomique
Wouter J. den Haan: UvA - University of Amsterdam [Amsterdam] = Universiteit van Amsterdam

PSE-Ecole d'économie de Paris (Postprint) 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
Note: View the original document on HAL open archive server: https://pjse.hal.science/halshs-00754295v1
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Citations: View citations in EconPapers (6)

Published in Journal of Economic Dynamics and Control, 2008, 32 (3), pp.875-908. ⟨10.1016/j.jedc.2007.03.007⟩

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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 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:hal:pseptp:halshs-00754295

DOI: 10.1016/j.jedc.2007.03.007

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