FORTRAN code for Heterogeinity, Aggregate Uncertainty and the Short-Term Interest Rate
AbstractIn this paper we solve heterogenous agents models using the parameterized expectations algorithm (PEA) and the policy function iterations algorithm (PFI). The problem in solving these models is that the wealth distribution belongs to the set of state variables. We solve this problem by approximating the distribution with a limited set of moments or percentiles. We find that the number of types has a small effect on the average interest rate and consumption smoothing. The included programs are: PEA program with percentiles from section 3 (xxpe6.f), PEA program with moments from section 3 (xxpe7.f), PFI program from section 3 (xx5.f), Simulation PFI program from section 3 (xxsim5.f), PEA program from section 4 (a3agg.f).
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Bibliographic InfoSoftware component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 60.
Programming language: FORTRAN
Date of creation: 1996
Date of revision:
Other versions of this item:
- Den Haan, Wouter J, 1996. "Heterogeneity, Aggregate Uncertainty, and the Short-Term Interest Rate," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(4), pages 399-411, October.
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