Solving Heterogeneous-Agent Models by Projection and Perturbation
Solving Heterogeneous-Agent Models by Projection and Perturbation
复制标题
通过投影和扰动求解异质代理模型
DOI：
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发表时间：
2006
期刊：
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通讯作者：
M. Reiter
中科院分区：
文献类型：
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作者：
M. Reiter
本文提出了一种结合投影法和摄动法的求解具有连续异质主体的一般均衡模型的数值方法。其基本思想是首先求解模型的平稳解，没有总冲击，但有充分指定的特质冲击。然后，我们计算了总冲击解的一阶扰动。这种方法允许在状态向量中包括横截面分布的高维表示。该方法被应用到一个模型的家庭储蓄不可保的收入风险和流动性约束。该模型不仅包括生产率冲击，还包括对再分配税收的冲击，这会导致财富横截面分配的巨大短期变化。如果这些冲击是可操作的，它表明，基于非常少的统计分布的解决方案的方法是不合适的，而所提出的方法可以解决模型的高精度，至少对于小的总冲击的情况下。技术进行了讨论，以减少状态空间的维数，使高阶扰动是可行的。Matlab模型求解程序可以下载.
The paper proposes a numerical solution method for general equilibrium models with a continuum of heterogeneous agents, which combines elements of projection and of perturbation methods. The basic idea is to solve first for the stationary solution of the model, without aggregate shocks but with fully specified idiosyncratic shocks. Afterwards one computes a first-order perturbation of the solution in the aggregate shocks. This approach allows to include a high-dimensional representation of the cross-sectional distribution in the state vector. The method is applied to a model of household saving with uninsurable income risk and liquidity constraints. The model includes not only productivity shocks, but also shocks to redistributive taxation, which cause substantial short-run variation in the cross-sectional distribution of wealth. If those shocks are operative, it is shown that a solution method based on very few statistics of the distribution is not suitable, while the proposed method can solve the model with high accuracy, at least for the case of small aggregate shocks. Techniques are discussed to reduce the dimension of the state space such that higher order perturbations are feasible. Matlab programs to solve the model can be downloaded.