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Solving and Simulating Models with Heterogeneous Agents and Aggregate Uncertainty

 

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Type:   Partie ou chapitre de livre
 
Titre:   Solving and Simulating Models with Heterogeneous Agents and Aggregate Uncertainty
 
Auteur(s):   Algan, Yann (1974-...) - Département d'économie (Auteur)
Allais, Olivier - Laboratoire de Recherche sur la Consommation (Auteur)
Den Haan, Wouter J - Department of Economics (Auteur)
Rendahl, Pontus - Centre for Macroeconomics (Auteur)
 
In:   Handbook of Computational Economics
 
Date de publication:   2014
 
Éditeur:   Elsevier
 
Pages:   277-324  p.
 
Notes:   DOI : 10.1016/B978-0-444-52980-0.00006-2
 
ISBN:   9780444529800
 
Mots-clés:   [en] Incomplete Markets, Numerical Solutions, Projection Methods, Perturbation Methods, Parmeterized Densities, Accuracy Tests
 
JEL:   C63,  D52
 
Résumé:   [en] 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.
 
 

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