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Journal Articles Journal of Economic Dynamics and Control Year : 2008

Solving heterogeneous-agent models with parameterized cross-sectional distributions

Wouter den Haan
  • Function : Author

Abstract

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.

Dates and versions

hal-03596370 , version 1 (03-03-2022)

Identifiers

Cite

Yann Algan, Olivier Allais, Wouter den Haan. Solving heterogeneous-agent models with parameterized cross-sectional distributions. Journal of Economic Dynamics and Control, 2008, 32 (3), pp.875 - 908. ⟨10.1016/j.jedc.2007.03.007⟩. ⟨hal-03596370⟩
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