Arbeitspapier
Computing equilibria of stochastic heterogeneous agent models using decision rule histories
This paper introduces a general method for computing equilibria with heteroge- neous agents and aggregate shocks that is particularly suitable for economies with private infor- mation. Instead of the cross-sectional distribution of agents across individual states, the method uses as a state variable a vector of spline coefficients describing a long history of past individual decision rules. Applying the computational method to a Mirrlees RBC economy with known ana- lytical solution recovers the solution perfectly well. This test provides considerable confidence on the accuracy of the method.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2020-05
- Klassifikation
-
Wirtschaft
- Thema
-
Computational methods
heterogeneous agents
business cycles
private information
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Veracierto, Marcelo
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of Chicago
- (wo)
-
Chicago, IL
- (wann)
-
2020
- DOI
-
doi:10.21033/wp-2020-05
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Veracierto, Marcelo
- Federal Reserve Bank of Chicago
Entstanden
- 2020
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