| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26123 |
| 来源ID | Working Paper 26123 |
| Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models | |
| Adrien Auclert; Bence Bardóczy; Matthew Rognlie; Ludwig Straub | |
| 发表日期 | 2019-07-29 |
| 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 | Microeconomics ; Mathematical Tools ; Macroeconomics ; Consumption and Investment ; Business Cycles |
| URL | https://www.nber.org/papers/w26123 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/583795 |
| 推荐引用方式 GB/T 7714 | Adrien Auclert,Bence Bardóczy,Matthew Rognlie,et al. Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w26123.pdf（970KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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