• Medientyp: E-Book
  • Titel: State Reduction and Second-order Perturbations of Heterogeneous Agent Models
  • Beteiligte: Reiter, Michael [VerfasserIn]
  • Körperschaft:
  • Erschienen: Wien, 2023
  • Erschienen in: IHS Working Paper ; Bd. 49
  • Umfang: 43 S.
  • Sprache: Englisch
  • Identifikator:
  • Schlagwörter: heterogeneous agents ; model reduction ; perturbation methods
  • Entstehung:
  • Anmerkungen: Veröffentlichungsversion
    begutachtet
  • Beschreibung: This paper develops a method to compute second-order perturbations of discretetime heterogeneous agent models. It addresses the three main tasks to make second-order approximations tractable: state reduction, generating sufficient smoothness, and fast computation of the quadratic terms in the perturbation solution. The method is applied to a model with divisible labor, one with indivisible labor, and to an OLG model with stochastic aging. Compared to a linearized solution, second-order perturbations achieve substantially higher accuracy if models are subject to large or medium-sized aggregate shocks. They also capture precautionary behavior with respect to aggregate shocks. A general method of state reduction is developed, called "conditional-expectations approach". In the example models, it performs better in terms of accuracy and reliability than alternative approaches.
  • Zugangsstatus: Freier Zugang
  • Rechte-/Nutzungshinweise: Namensnennung (CC BY)