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
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Englisch
- Erschienen in
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Series: Working Paper ; No. 2020-05
- Klassifikation
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Wirtschaft
- Thema
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Computational methods
heterogeneous agents
business cycles
private information
- Ereignis
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Geistige Schöpfung
- (wer)
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Veracierto, Marcelo
- Ereignis
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Veröffentlichung
- (wer)
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Federal Reserve Bank of Chicago
- (wo)
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Chicago, IL
- (wann)
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2020
- DOI
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doi:10.21033/wp-2020-05
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Veracierto, Marcelo
- Federal Reserve Bank of Chicago
Entstanden
- 2020