Estimating linearized heterogeneous agent models using panel data

DOI10.1016/j.jedc.2020.103881OpenAlexW3009458504MaRDI QIDQ2191489

Yanyan Li

Publication date: 25 June 2020

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2020.103881

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (2)

Full‐information estimation of heterogeneous agent models using macro and micro data ⋮ Discussion of ``Estimating linearized heterogeneous agent models using panel data

Uses Software

• mctoolbox

Cites Work

• Solving heterogeneous-agent models with parameterized cross-sectional distributions
• Exploiting MIT shocks in heterogeneous-agent economies: the impulse response as a numerical derivative
• Solving heterogeneous-agent models by projection and perturbation
• BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS
• Evaluating Derivatives
• SOLVING DYNAMIC MODELS WITH AGGREGATE SHOCKS AND HETEROGENEOUS AGENTS
• A method for solving and estimating heterogeneous agent macro models
• Particle Markov Chain Monte Carlo Methods
• Accuracy and Stability of Numerical Algorithms
• Idiosyncratic Shocks and the Role of Nonconvexities in Plant and Aggregate Investment Dynamics

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