Comparison of solutions to the incomplete markets model with aggregate uncertainty

DOI10.1016/J.JEDC.2008.12.010zbMath1179.91012OpenAlexW3122060164WikidataQ56031520 ScholiaQ56031520MaRDI QIDQ1046038

Wouter J. Den Haan

Publication date: 21 December 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2008.12.010

zbMATH Keywords

approximationsnumerical solutions

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Dynamic stochastic general equilibrium theory (91B51) Heterogeneous agent models (91B69)

Related Items (11)

Nonlinear and stable perturbation-based approximations ⋮ Solving an incomplete markets model with a large cross-section of agents ⋮ Approximate dynamic programming with post-decision states as a solution method for dynamic economic models ⋮ Comparison of solutions to the multi-country real business cycle model ⋮ Numerical solution of dynamic quantile models ⋮ Applying the explicit aggregation algorithm to heterogeneous agent models in continuous time ⋮ Solving the incomplete markets model with aggregate uncertainty by backward induction ⋮ Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm ⋮ Solving the incomplete market model with aggregate uncertainty using a perturbation method ⋮ Solving the incomplete markets model with aggregate uncertainty using parameterized cross-sectional distributions ⋮ Deep learning classification: modeling discrete labor choice

Cites Work

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• Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm
• Solving the incomplete market model with aggregate uncertainty using a perturbation method
• Solving the incomplete markets model with aggregate uncertainty using parameterized cross-sectional distributions
• Solving the incomplete markets model with aggregate uncertainty using explicit aggregation
• Assessing the accuracy of the aggregate law of motion in models with heterogeneous agents
• Algorithms and economic dynamics. Selected papers from the 2nd annual meeting of the Society for Computational Economics, Geneva, Switzerland, 1996
• The method of endogenous gridpoints for solving dynamic stochastic optimization problems
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• SOLVING DYNAMIC MODELS WITH AGGREGATE SHOCKS AND HETEROGENEOUS AGENTS
• INCOME AND WEALTH HETEROGENEITY, PORTFOLIO CHOICE, AND EQUILIBRIUM ASSET RETURNS
• Accuracy in Simulations
• Accuracy of Numerical Solutions Using the Euler Equation Residuals
• Accuracy of Simulations for Stochastic Dynamic Models

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