Bayer, Christian; Luetticke, Ralph - In: Quantitative Economics 11 (2020) 4, pp. 1253-1288
This paper describes a method for solving heterogeneous agent models with aggregate risk and many idiosyncratic states formulated in discrete time. It extends the method proposed by Reiter (2009) and complements recent work by Ahn, Kaplan, Moll, Winberry, and Wolf (2017) on how to solve such...
