Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 9, 2023 erstellt
Description:
This paper describes a method for solving transition dynamics in heterogeneous-agent models with aggregate risk in continuous time. It extends the methods proposed in Achdou et al. (2022) and complements recent work by Auclert et al. (2021) on how to solve for the transition dynamics of heterogeneous-agent models in discrete time using sequence-space Jacobians. Our approach solves for the stationary equilibrium of the model without aggregate risk. Then, it invokes the Jacobian as a sufficient statistic, which describes the transition dynamics of the model with aggregate shocks. We apply our method to perform likelihood estimations of model parameters in a continuous-time framework