Solving and Simulating Models with Heterogeneous Agents and Aggregate Uncertainty

Yann Algan; Olivier Allais; Wouter J. Den Haan; Pontus Rendahl

doi:10.1016/B978-0-444-52980-0.00006-2

Solving and Simulating Models with Heterogeneous Agents and Aggregate Uncertainty

Yann Algan^*, Olivier Allais, Wouter J. Den Haan, Pontus Rendahl

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review

Abstract

Although almost nonexistent 15. years ago, there are now numerous papers that analyze models with both aggregate uncertainty and a large number-typically a continuum-of heterogeneous agents. These models make it possible to study whether macroeconomic fluctuations affect different agents differently and whether heterogeneity in turn affects macroeconomic fluctuations. This chapter reviews different algorithms to solve and simulate these models. In addition, it highlights problems with popular accuracy tests and discusses more powerful alternatives.

Original language	English
Title of host publication	Handbook of Computational Economics, Volume 3
Editors	Karl Schmedders, Kenneth L. Judd
Number of pages	48
Place of Publication	Oxford
Publisher	North-Holland
Publication date	2014
Pages	277-324
Chapter	6
ISBN (Print)	9780444529800
DOIs	https://doi.org/10.1016/B978-0-444-52980-0.00006-2
Publication status	Published - 2014
Externally published	Yes

Keywords

Accuracy tests
Incomplete markets
Numerical solutions
Parameterized densities
Perturbation methods
Projection methods

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10.1016/B978-0-444-52980-0.00006-2

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Cite this

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abstract = "Although almost nonexistent 15. years ago, there are now numerous papers that analyze models with both aggregate uncertainty and a large number-typically a continuum-of heterogeneous agents. These models make it possible to study whether macroeconomic fluctuations affect different agents differently and whether heterogeneity in turn affects macroeconomic fluctuations. This chapter reviews different algorithms to solve and simulate these models. In addition, it highlights problems with popular accuracy tests and discusses more powerful alternatives.",

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Solving and Simulating Models with Heterogeneous Agents and Aggregate Uncertainty. / Algan, Yann; Allais, Olivier; Den Haan, Wouter J. et al.
Handbook of Computational Economics, Volume 3. ed. / Karl Schmedders; Kenneth L. Judd. Oxford: North-Holland, 2014. p. 277-324.

Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review

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AU - Den Haan, Wouter J.

AU - Rendahl, Pontus

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KW - Incomplete markets

KW - Numerical solutions

KW - Parameterized densities

KW - Perturbation methods

KW - Projection methods

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KW - Numerical solutions

KW - Projection methods

KW - Perturbation methods

KW - Parameterized densities

KW - Accuracy tests

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