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 seeks to explain the emergence of fat-tailed distributions of trading volumes and asset returns in financial markets. We use a rational expectations form of the herding model. In the model, traders infer other traders' private signals regarding the value of an asset by observing their...