Estimating Linearized Heterogeneous Agent Models Using Panel Data

Papp, Tamás K. and Reiter, Michael ORCID: https://orcid.org/0000-0001-9490-8746 (2020) Estimating Linearized Heterogeneous Agent Models Using Panel Data. Journal of Economic Dynamics and Control, 103881. (Published before print)

Full text not available from this repository. (Request a copy)

Abstract or Table of Contents

We develop a method to estimate heterogeneous agent models that uses not only time series of macroeconomic aggregates, but can also incorporate micro level data (repeated cross-section or panel). The micro data may be collected at lower frequency and time-aggregated. The method is based on the linearization approach of Reiter (2009), combined with optimal state aggregation as in Reiter (2010). The model may contain decision problems with both continuous and discrete choice. Linearity of the model solution allows fast computation of second moments and likelihood. We discuss various computational devices to maximize the speed of the estimation.

Item Type: Article in Academic Journal
Classification Codes (e.g. JEL): C63, C68, E21
Research Units: Macroeconomics and Economic Policy
Status: Published before print
Date Deposited: 09 Mar 2020 08:20
Last Modified: 09 Mar 2020 08:52
Identification Number or DOI: 10.1016/j.jedc.2020.103881
ISSN: 0165-1889
URI: https://irihs.ihs.ac.at/id/eprint/5242

Actions (login required)

View Item View Item