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Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models / Adrien Auclert, Bence Bardóczy, Matthew Rognlie, Ludwig Straub.
- Format:
- Book
- Author/Creator:
- Auclert, Adrien.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w26123.
- NBER working paper series no. w26123
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2019.
- Summary:
- 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.
- Notes:
- Print version record
- July 2019.
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