Estimating Linearized Heterogeneous Agent Models Using Panel Data

Papp, Tamás K. and Reiter, MichaelORCID: (2020) Estimating Linearized Heterogeneous Agent Models Using Panel Data. Journal of Economic Dynamics and Control, 115 (103881). DOI: 10.1016/j.jedc.2020.103881

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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: Former Research Units (until 2020) > Macroeconomics and Economic Policy
Date Deposited: 09 Mar 2020 08:20
Last Modified: 16 Jul 2020 12:16
DOI: 10.1016/j.jedc.2020.103881
ISSN: 0165-1889

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