Solving Dynamic Models with Heterogeneous Agents and Aggregate Uncertainty with Dynare or Dynare++
uncertainty can be solved using Dynare or Dynare++ software that implements a perturbation approach. When the explicit aggregation algorithm (XPA) is used to obtain aggregate laws of motion, this can be accomplished by combining a Dynare program with a very simple Matlab program. When the Krusell-Smith algorithm is used, then the Matlab program needed is somewhat more involved, but still relatively simple. We calculate and compare first and second-order numerical solutions using both algorithms. These numerical procedures are also compared with the algorithm that solves the individual policy rules with a projection instead of a perturbation procedure. Finally, we discuss a procedure that efficiently chooses which cross-sectional moments to include as aggregate state variables when nonlinearities are important and the mean is not a sufficient statistic.
|Date of creation:||2009|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.EconomicDynamics.org/
More information through EDIRC
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.:
- Kim, Sunghyun Henry & Kollmann, Robert & Kim, Jinill, 2010. "Solving the incomplete market model with aggregate uncertainty using a perturbation method," Journal of Economic Dynamics and Control, Elsevier, vol. 34(1), pages 50-58, January.
- Den Haan, Wouter & Rendahl, Pontus, 2008.
"Solving the Incomplete Markets Model with Aggregate Uncertainty using Explicit Aggregation,"
CEPR Discussion Papers
6963, C.E.P.R. Discussion Papers.
- Den Haan, Wouter J. & Rendahl, Pontus, 2010. "Solving the incomplete markets model with aggregate uncertainty using explicit aggregation," Journal of Economic Dynamics and Control, Elsevier, vol. 34(1), pages 69-78, January.
- 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).
- Per Krusell & Anthony A. Smith, Jr., . "Income and Wealth Heterogeneity in the Macroeconomy," GSIA Working Papers 1997-37, Carnegie Mellon University, Tepper School of Business.
- Bruce Preston & Mauro Roca, 2007. "Incomplete Markets, Heterogeneity and Macroeconomic Dynamics," NBER Working Papers 13260, National Bureau of Economic Research, Inc.
- Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, June.
When requesting a correction, please mention this item's handle: RePEc:red:sed009:776. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Zimmermann)
If references are entirely missing, you can add them using this form.