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Solving and Simulating Models with Heterogeneous Agents and Aggregate Uncertainty

Author

Listed:
  • Yann Algan

    (Département d'économie (ECON))

  • Olivier Allais

    (Laboratoire de Recherche sur la Consommation)

  • Wouter Den Haan

    (Department of Economics ( London School of Economics and Political Science, Tilburg University))

  • Pontus Rendahl

    (Centre for Macroeconomics)

Abstract

Although almost nonexistent 15 years ago, there are now numerous papers that analyze models with both aggregate uncertainty and a large number—typically a continuum—of heterogeneous agents. These models make it possible to study whether macroeconomic fluctuations affect different agents differently and whether heterogeneity in turn affects macroeconomic fluctuations. This chapter reviews different algorithms to solve and simulate these models. In addition, it highlights problems with popular accuracy tests and discusses more powerful alternatives.

Suggested Citation

  • Yann Algan & Olivier Allais & Wouter Den Haan & Pontus Rendahl, 2010. "Solving and Simulating Models with Heterogeneous Agents and Aggregate Uncertainty," Sciences Po publications info:hdl:2441/5lc99v0teo8, Sciences Po.
    • Handle: RePEc:spo:wpmain:info:hdl:2441/5lc99v0teo898rban7bgs9reua
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    References listed on IDEAS

    as
    1. Manuel S. Santos & Adrian Peralta-Alva, 2005. "Accuracy of Simulations for Stochastic Dynamic Models," Econometrica, Econometric Society, vol. 73(6), pages 1939-1976, November.
    2. Manuel S. Santos & Adrian Peralta-Alva, 2005. "Accuracy of Simulations for Stochastic Dynamic Models," Econometrica, Econometric Society, vol. 73(6), pages 1939-1976, November.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Incomplete Markets; Numerical Solutions; Projection Methods; Perturbation Methods; Parmeterized Densities; Accuracy Tests;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets

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