Solving heterogeneous-agent models with parameterized cross-sectional distributions

被引：24

作者：

Algan, Yann ^{[2
,3
]}

Allais, Olivier ^{[4
]}

Den Haan, Wouter J. ^{[1
,5
]}

机构：

[1] Univ Amsterdam, Dept Econ, NL-1018 WB Amsterdam, Netherlands

[2] PSE, Paris, France

[3] Paris E Univ OEP, Paris, France

[4] INRA Corela, Paris, France

[5] Ctr Econ Policy Res, Amsterdam, Netherlands

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2008年 / 32卷 / 03期

关键词：

incomplete markets; numerical solutions; projection methods; simulations;

D O I：

10.1016/j.jedc.2007.03.007

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A new algorithm is developed to solve models with heterogeneous agents and aggregate uncertainty. Projection methods are the main building blocks of the algorithm and - in contrast to the most popular solution procedure - simulations only play a very minor role. The paper also develops a new simulation procedure that not only avoids cross-sectional sampling variation but is 10 (66) times faster than simulating an economy with 10,000 (100,000) agents. Because it avoids cross-sectional sampling variation, it can generate an accurate representation of the whole cross-sectional distribution. Finally, the paper outlines a set of accuracy tests. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：875 / 908

页数：34

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