A method for solving and estimating heterogeneous agent macro models

DOI10.3982/QE740zbMath1420.91362OpenAlexW2902826675WikidataQ128844843 ScholiaQ128844843MaRDI QIDQ4625064

Thomas Winberry

Publication date: 20 February 2019

Published in: Quantitative Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/qe740

zbMATH Keywords

estimationheterogeneous agentscomputational economicslumpy investment

Mathematics Subject Classification ID

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 (10)

DEEP EQUILIBRIUM NETS ⋮ Pareto extrapolation: An analytical framework for studying tail inequality ⋮ Full‐information estimation of heterogeneous agent models using macro and micro data ⋮ Unemployment risk, MPC heterogeneity, and business cycles ⋮ Estimating linearized heterogeneous agent models using panel data ⋮ Discussion of ``Estimating linearized heterogeneous agent models using panel data ⋮ A Stochastic Capital-Labour Model with Logistic Growth Function ⋮ A method for solving and estimating heterogeneous agent macro models ⋮ Applying the explicit aggregation algorithm to heterogeneous agent models in continuous time ⋮ Deep learning classification: modeling discrete labor choice

Uses Software

• Dynare

Cites Work

• Solving heterogeneous-agent models with parameterized cross-sectional distributions
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm and non-stochastic simulations
• Assessing the accuracy of the aggregate law of motion in models with heterogeneous agents
• Impulse response analysis in nonlinear multivariate models
• Asymptotic methods for aggregate growth models
• Solving an incomplete markets model with a large cross-section of agents
• Solving heterogeneous-agent models by projection and perturbation
• State-Dependent Pricing and the General Equilibrium Dynamics of Money and Output
• Consumption Dynamics During Recessions
• A method for solving and estimating heterogeneous agent macro models
• Really Uncertain Business Cycles
• Financial Heterogeneity and the Investment Channel of Monetary Policy
• Idiosyncratic Shocks and the Role of Nonconvexities in Plant and Aggregate Investment Dynamics
• On the Nature of Capital Adjustment Costs

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