Estimating linearized heterogeneous agent models using panel data

Tamás K. Papp, Michael Reiter

Research output: Contribution to journalArticle

Abstract

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.

Original languageEnglish (US)
Article number103881
JournalJournal of Economic Dynamics and Control
Volume115
DOIs
StatePublished - Jun 2020

ASJC Scopus subject areas

  • Economics and Econometrics
  • Control and Optimization
  • Applied Mathematics

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