Comparison of solutions to the incomplete markets model with aggregate uncertainty

DOI10.1016/J.JEDC.2008.12.010MaRDI QIDQ1046038zbMATH OpenOpenAlexWikidataFDO

Authors Wouter J. Den Haan

Publication date 21 December 2009

Published in Journal of Economic Dynamics and 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) Dynamic stochastic general equilibrium theory (91B51) Heterogeneous agent models (91B69) Computational methods for problems pertaining to game theory, economics, and finance (91-08)

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Cites work

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

Cited in

(13)

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

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