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- W2892059897 abstract "This paper describes a method for solving heterogeneous agent models with aggregate risk and many idiosyncratic states formulated in discrete time. It extends the method proposed by Reiter (2009) and complements recent work by Ahn et al. (2017) on how to solve such models in continuous time. We suggest first solving for the stationary equilibrium of the model without aggregate risk. We then write the functionals that describe the recursive equilibrium as sparse expansions around their stationary equilibrium counterparts. Finally we use the perturbation method of Schmitt-Grohe and Uribe (2004) to approximate the aggregate dynamics of the model." @default.
- W2892059897 created "2018-09-27" @default.
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- W2892059897 date "2018-07-01" @default.
- W2892059897 modified "2023-09-27" @default.
- W2892059897 title "Solving heterogeneous agent models in discrete time with many idiosyncratic states by perturbation methods" @default.
- W2892059897 hasPublicationYear "2018" @default.
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