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- W3124251381 abstract "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. Our main contribution is a fast algorithm for calculating Jacobians for a large class of heterogeneous-agent problems. We combine this algorithm with a systematic approach to composing and inverting Jacobians to solve for general equilibrium impulse responses. We obtain a rapid procedure for likelihood-based estimation and computation of nonlinear perfect-foresight transitions. We apply our methods to three canonical heterogeneous-agent models: a neoclassical model, a New Keynesian model with one asset, and a New Keynesian model with two assets.Institutional subscribers to the NBER working paper series, and residents of developing countries may download this paper without additional charge at www.nber.org." @default.
- W3124251381 created "2021-02-01" @default.
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- W3124251381 date "2019-07-01" @default.
- W3124251381 modified "2023-09-26" @default.
- W3124251381 title "Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models" @default.
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