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Solving and simulating models with heterogeneous agents and aggregate uncertainty

Algan, Yann, Allais, Olivier, Den Haan, Wouter J. and Rendahl, Pontus (2013) Solving and simulating models with heterogeneous agents and aggregate uncertainty. In: Schmedders, Karl and Judd, Kenneth L., (eds.) Handbook of Computational Economics Vol. 3. Elsevier (Firm), Oxford, UK, pp. 277-324. ISBN 9780444529800

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Identification Number: 10.1016/B978-0-444-52980-0.00006-2


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.

Item Type: Book Section
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Additional Information: © 2014 Elsevier B.V.
Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
JEL classification: C - Mathematical and Quantitative Methods > C6 - Mathematical Methods and Programming > C63 - Computational Techniques
D - Microeconomics > D5 - General Equilibrium and Disequilibrium > D52 - Incomplete Markets
Date Deposited: 22 Jan 2014 12:53
Last Modified: 16 May 2024 05:36

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