This paper quantifies the effect of time-varying employment risks on the fluctuations of aggregate consumption in a dynamic general equilibrium with incomplete markets. A government's redistribution policy through provision of unemployment insurance can cause a positive correlation between...

I propose a computational algorithm for estimating heterogeneous agent macro models with micro data. The main challenge is that the state vector is infinite-dimensional and the likelihood of the stationary distribution is intractable. The key feature of the framework is that it minimizes the...

This study presents a structural estimation method for nonlinear stochastic dynamic models of heterogeneous firms. I perform a Monte Carlo experiment to evaluate the performance of the estimators for the AR(1) dynamic panel data subject to sample selection without exogenous regressors. The...