Efficient Aggregation in Heterogeneous Agents Models with Bounded Rationality

Giorgi Nikolaishvili () and David Evans ()
Additional contact information
David Evans: University of Oregon

No 124, Working Papers from Wake Forest University, Economics Department

Abstract: Simulations of heterogeneous agents models with boundedly rational agents and multiple markets in the style of Krusell and Smith (1997, 1998) require solving for market-clearing conditions at each period to determine temporary equilibria. Existing solution procedures can be computationally intensive, especially in settings with a high-dimensional state space and a large number of agents. We suggest a new method for approximating temporary equilibria in heterogeneous agents models that offers a speedup of multiple orders of magnitude compared to a conventional benchmark. We demonstrate the effectiveness of our procedure by applying it to a model with heterogeneous boundedly rational agents featuring a large idiosyncratic state space.

Keywords: Heterogeneous agents; equilibrium approximation; policy function aggregation; market clearing (search for similar items in EconPapers)
JEL-codes: C63 C68 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2025-03-11
References: Add references at CitEc
Citations:

Downloads: (external link)
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5173822 Full text (application/pdf)

Related works:
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:ris:wfuewp:0124

Access Statistics for this paper

More papers in Working Papers from Wake Forest University, Economics Department Contact information at EDIRC.
Bibliographic data for series maintained by Don Shegog ().