Applying the explicit aggregation algorithm to heterogeneous agent models in continuous time

DOI10.1016/J.ECONLET.2021.109940MaRDI QIDQ1984465zbMATH OpenOpenAlexFDO

Authors Masakazu Emoto, Takeki Sunakawa

Publication date 16 September 2021

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2021.109940

zbMATH Keywords

continuous timeexplicit aggregation algorithmheterogeneous agent models

Mathematics Subject Classification ID

Heterogeneous agent models (91B69)

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Cites work

• A method for solving and estimating heterogeneous agent macro models
• Comparison of solutions to the incomplete markets model with aggregate uncertainty
• Computational suite of models with heterogeneous agents: incomplete markets and aggregate uncertainty
• Idiosyncratic Shocks and the Role of Nonconvexities in Plant and Aggregate Investment Dynamics
• Really uncertain business cycles
• Solving discrete time heterogeneous agent models with aggregate risk and many idiosyncratic states by perturbation
• Solving heterogeneous-agent models by projection and perturbation
• Solving the incomplete markets model with aggregate uncertainty by backward induction
• Solving the incomplete markets model with aggregate uncertainty using explicit aggregation

Cited in

(7)

• A fast and low computational memory algorithm for non-stochastic simulations in heterogeneous agent models
• Solving heterogeneous-agent models by projection and perturbation
• Discrete‐time dynamic principal–agent models: Contraction mapping theorem and computational treatment
• Solving discrete time heterogeneous agent models with aggregate risk and many idiosyncratic states by perturbation
• Distributed order model of labor migration
• Pseudospectral methods for continuous-time heterogeneous-agent models
• Solving heterogeneous-agent models with parameterized cross-sectional distributions

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