Quadrature-Based Methods for Solving Heterogeneous Agent Models with Discontinuous Distributions
The paper develops a method for solving heterogeneous agent models in which the distribution of characteristics across agents is a state variable and the distribution can be discontinuous at points that vary endogenously. The method extends the approach of [Tauchen, George and Robert Hussey, Econometrica 59, 1991, 371–396] for solving nonlinear rational expectations models using a discrete-state Markov chain approximation to a continuous Markov process. The paper presents an example application of a general equilibrium labor search model with persistence in the idiosyncratic productivity of heterogeneous firms. Copyright Springer Science + Business Media, Inc. 2005
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Volume (Year): 26 (2005)
Issue (Month): 1 (August)
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Tauchen, George & Hussey, Robert, 1991. "Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models," Econometrica, Econometric Society, vol. 59(2), pages 371-396, March.
- Brian D. Wright & Jeffrey C. Williams, 1984. "The Welfare Effects of the Introduction of Storage," The Quarterly Journal of Economics, Oxford University Press, vol. 99(1), pages 169-192.
- Robert Hussey, 2003. "Labor Turnover and the Dynamics of Labor Productivity," Working Papers gueconwpa~03-03-32, Georgetown University, Department of Economics.
- Per Krusell & Anthony A. Smith, Jr., "undated".
"Income and Wealth Heterogeneity in the Macroeconomy,"
GSIA Working Papers
1997-37, Carnegie Mellon University, Tepper School of Business.
- Per Krusell & Anthony A. Smith & Jr., 1998. "Income and Wealth Heterogeneity in the Macroeconomy," Journal of Political Economy, University of Chicago Press, vol. 106(5), pages 867-896, October.
- Krusell, P & Smith Jr, A-A, 1995. "Income and Wealth Heterogeneity in the Macroeconomic," RCER Working Papers 399, University of Rochester - Center for Economic Research (RCER).
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