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Estimating linearized heterogeneous agent models using panel data

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  • Papp, Tamás K.
  • Reiter, Michael

Abstract

We develop a method to estimate heterogeneous agent models that uses not only time series of macroeconomic aggregates, but can also incorporate micro level data (repeated cross-section or panel). The micro data may be collected at lower frequency and time-aggregated. The method is based on the linearization approach of Reiter (2009), combined with optimal state aggregation as in Reiter (2010). The model may contain decision problems with both continuous and discrete choice. Linearity of the model solution allows fast computation of second moments and likelihood. We discuss various computational devices to maximize the speed of the estimation.

Suggested Citation

  • Papp, Tamás K. & Reiter, Michael, 2020. "Estimating linearized heterogeneous agent models using panel data," Journal of Economic Dynamics and Control, Elsevier, vol. 115(C).
  • Handle: RePEc:eee:dyncon:v:115:y:2020:i:c:s0165188920300506
    DOI: 10.1016/j.jedc.2020.103881
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    Cited by:

    1. Den Haan, Wouter J., 2020. "Discussion of estimating linearized heterogeneous agent models using panel data," LSE Research Online Documents on Economics 103971, London School of Economics and Political Science, LSE Library.
    2. Laura Liu & Mikkel Plagborg-M{o}ller, 2021. "Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data," Papers 2101.04771, arXiv.org, revised Jun 2022.
    3. Laura Liu & Mikkel Plagborg-Møller, 2022. "Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data," Working Papers 2022-21, Princeton University. Economics Department..

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    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth

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