HAL will be down for maintenance from Friday, June 10 at 4pm through Monday, June 13 at 9am. More information
Skip to Main content Skip to Navigation
Journal articles

Solving heterogeneous-agent models with paramaterized cross-sectional distribution

Abstract : A new algorithm is developed to solve models with heterogeneous agents and aggregate uncertainty. Projection methods are the main building blocks of the algorithm and - in contrast to the most popular solution procedure - simulations only play a very minor role. The paper also develops a new simulation procedure that not only avoids cross-sectional sampling variation but is 10 (66) times faster than simulating an economy with 10,000 (100,000) agents. Because it avoids cross-sectional sampling variation, it can generate an accurate representation of the whole cross-sectional distribution. Finally, the paper outlines a set of accuracy tests.
Document type :
Journal articles
Complete list of metadata

Cited literature [16 references]  Display  Hide  Download

Contributor : Caroline Bauer Connect in order to contact the contributor
Submitted on : Sunday, May 31, 2020 - 12:38:31 PM
Last modification on : Friday, April 29, 2022 - 10:13:04 AM


Publisher files allowed on an open archive



Yann Algan, Olivier Allais, Wouter J. den Haan. Solving heterogeneous-agent models with paramaterized cross-sectional distribution. Journal of Economic Dynamics and Control, Elsevier, 2008, 32 (3), pp.875-908. ⟨10.1016/j.jedc.2007.03.007⟩. ⟨halshs-00754295⟩



Record views


Files downloads