| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13890 |
| DP13890 Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models | |
| Adrien Auclert; Bence Bardoczy; Matthew Rognlie; Ludwig Straub | |
| 发表日期 | 2019-07-24 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We propose a general and highly efficient method for solving and estimating general equilibrium heterogeneous-agent models with aggregate shocks in discrete time. Our approach relies on the rapid computation of sequence-space Jacobians—the derivatives of perfect-foresight equilibrium mappings between aggregate sequences around the steady state. Our main contribution is a fast algorithm for calculating Jacobians for a large class of heterogeneous-agent problems. We combine this algorithm with a systematic approach to composing and inverting Jacobians to solve for general equilibrium impulse responses. We obtain a rapid procedure for likelihood-based estimation and computation of nonlinear perfect-foresight transitions. We apply our methods to three canonical heterogeneous-agent models: a neoclassical model, a New Keynesian model with one asset, and a New Keynesian model with two assets. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Heterogeneous agent General equilibrium Computational methods Linearization |
| URL | https://cepr.org/publications/dp13890-1 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542766 |
| 推荐引用方式 GB/T 7714 | Adrien Auclert,Bence Bardoczy,Matthew Rognlie,et al. DP13890 Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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