Install Free Gold Price Widget!
Install Free Gold Price Widget!
Install Free Gold Price Widget!
|
- Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous . . .
We propose a general and highly efficient method for solving and estimating gen-eral equilibrium heterogeneous-agent models with aggregate shocks in discrete time Our approach relies on the rapid computation of sequence-space Jacobians—the deriva-tives of perfect-foresight equilibrium mappings between aggregate sequences around the steady state
- Research - Adrien Auclert
Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models (with Bence Bardóczy, Matthew Rognlie and Ludwig Straub) Econometrica 89(5), pp 2375–2408, September 2021
- Econometrica, Vol. 89, No. 5 (September, 2021), 2375–2408
Our main contribution is a fast algorithm for calculating Jacobians for a large class of heterogeneous-agent problems We combine this algorithm with a system-atic approach to composing and inverting Jacobians to solve for general equilibrium impulse responses
- Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous . . .
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
- Sequence Space Jacobian | Vasudeva Ramaswamy
Output for a basic Krussell-Smith Model: IRFs, the Jacobian, and the Fake News Matrix The purpose of this project is to create a series of teaching materials for solving HANK models in Julia using the Sequence Space Jacobian method (Auclert, Bardoczy, Rognlie and Straub)
- Sequence-Space Jacobian (SSJ) - GitHub
Sequence-Space Jacobian (SSJ) SSJ is a toolkit for analyzing dynamic macroeconomic models with (or without) rich microeconomic heterogeneity The conceptual framework is based on our paper Adrien Auclert, Bence Bardóczy, Matthew Rognlie, Ludwig Straub (2021), Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models
- Heterogeneous agent modeling | sequence-space Jacobians - Alisdair McKay
Auclert et al (2021) introduced this approach to solving heterogeneous agent models Here, I will stick to the big picture of the approach and refer you to Auclert et al for details To review, we are solving for a perfect foresight transition path of an Aiyagari economy
- Linearizing Heterogeneous Agent Models in Aggregates
Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models Auclert, Bard´oczy, Rognlie, Straub (2021), slides follow slides by Ludwig Straub Q: How should we solve heterogeneous-agent general equilibrium models with
|
|
|