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2014
- handle: 10670/1.3uncjn
- isbn: 9780444529800
- hal: hal-02801849
- doi: 10.1016/B978-0-444-52980-0.00006-2
- PRODINRA: 264853
- WOS: 000349044900007
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info:eu-repo/semantics/altIdentifier/doi/10.1016/B978-0-444-52980-0.00006-2
Mots-clés
incomplete markets projection methods perturbation methods parameterized densities accuracy tests numerical solutionsSujets proches
Agency (Philosophy) Agents Person (Philosophy)Citer ce document
Yann Algan et al., « Solving and simulating models with heterogeneous agents and aggregate uncertainty », Archive ouverte de Sciences Po (SPIRE), ID : 10.1016/B978-0-444-52980-0.00006-2
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Résumé
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.