Chapter 6. Solving and Simulating Models with Heterogeneous Agents and Aggregate Uncertainty

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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Year of publication:	2014
Authors:	Algan, Yann ; Allais, Olivier ; Den Haan, Wouter J. ; Rendahl, Pontus
Published in:	Handbook of computational economics : volume 3. - Amsterdam : Elsevier, ISBN 0-444-89857-3. - 2014, p. 277-324
Subject:	Incomplete markets \| Numerical solutions \| Projection methods \| Perturbation methods \| Parameterized densities \| Accuracy tests \| Unvollkommener Markt \| Incomplete market \| Theorie \| Theory \| Simulation \| Risiko \| Risk \| Finanzmathematik \| Mathematical finance

Type of publication:	Article
Language:	English
Other identifiers:	10.1016/B978-0-444-52980-0.00006-2 [DOI]
Classification:	C63 - Computational Techniques ; D52 - Incomplete Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014025716