Full-information Estimation of Heterogeneous Agent Models Using Macro and Micro Data PDF Download

Author: Laura Liu
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Kazufumi Yamana
Publisher:
ISBN:
Category :
Languages : en
Pages : 19

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I propose a computational algorithm for estimating heterogeneous agent macro models with micro data. The main challenge is that the state vector is infinite-dimensional and the likelihood of the stationary distribution is intractable. The key feature of the framework is that it minimizes the density difference between the observed distribution and stationary distribution to estimate the parameter. As an illustration, I implement the algorithm to conduct a likelihood-free structural estimation of a household's portfolio choice model with imperfect insurance. The results show that the assumption of imperfect insurance and limited market participation is not sufficient to solve the equity premium puzzle with the estimated model that produces reasonable equilibrium heterogeneity.

Author: Cars Hommes
Publisher: Elsevier
ISBN: 0444641327
Category : Business & Economics
Languages : en
Pages : 836

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Book Description
Handbook of Computational Economics: Heterogeneous Agent Modeling, Volume Four, focuses on heterogeneous agent models, emphasizing recent advances in macroeconomics (including DSGE), finance, empirical validation and experiments, networks and related applications. Capturing the advances made since the publication of Volume Two (Tesfatsion & Judd, 2006), it provides high-level literature with sections devoted to Macroeconomics, Finance, Empirical Validation and Experiments, Networks, and other applications, including Innovation Diffusion in Heterogeneous Populations, Market Design and Electricity Markets, and a final section on Perspectives on Heterogeneity. Helps readers fully understand the dynamic properties of realistically rendered economic systems Emphasizes detailed specifications of structural conditions, institutional arrangements and behavioral dispositions Provides broad assessments that can lead researchers to recognize new synergies and opportunities

Author: Martin Eichenbaum
Publisher: University of Chicago Press Journals
ISBN: 9780226577661
Category : Business & Economics
Languages : en
Pages : 0

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Volume 32 of the NBER Macroeconomics Annual features six theoretical and empirical studies of important issues in contemporary macroeconomics, and a keynote address by former IMF chief economist Olivier Blanchard. In one study, SeHyoun Ahn, Greg Kaplan, Benjamin Moll, Thomas Winberry, and Christian Wolf examine the dynamics of consumption expenditures in non-representative-agent macroeconomic models. In another, John Cochrane asks which macro models most naturally explain the post-financial-crisis macroeconomic environment, which is characterized by the co-existence of low and nonvolatile inflation rates, near-zero short-term interest rates, and an explosion in monetary aggregates. Manuel Adelino, Antoinette Schoar, and Felipe Severino examine the causes of the lending boom that precipitated the recent U.S. financial crisis and Great Recession. Steven Durlauf and Ananth Seshadri investigate whether increases in income inequality cause lower levels of economic mobility and opportunity. Charles Manski explores the formation of expectations, considering the efficacy of directly measuring beliefs through surveys as an alternative to making the assumption of rational expectations. In the final research paper, Efraim Benmelech and Nittai Bergman analyze the sharp declines in debt issuance and the evaporation of market liquidity that coincide with most financial crises. Blanchard’s keynote address discusses which distortions are central to understanding short-run macroeconomic fluctuations.

Author: Jonathan Heathcote
Publisher: DIANE Publishing
ISBN: 1437934919
Category : Business & Economics
Languages : en
Pages : 61

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The authors conducted a systematic empirical study of cross-sectional inequality in the U.S., integrating data from various surveys. The authors follow the mapping suggested by the household budget constraint from individual wages to individual earnings, to household earnings, to disposable income, and, ultimately, to consumption and wealth. They document a continuous and sizable increase in wage inequality over the sample period. Changes in the distribution of hours worked sharpen the rise in earnings inequality before 1982, but mitigate its increase thereafter. Taxes and transfers compress the level of income inequality, especially at the bottom of the distribution, but have little effect on the overall trend. Charts and tables. This is a print-on-demand publication; it is not an original.

Author: Alessandro Caiani
Publisher: Springer
ISBN: 3319440586
Category : Business & Economics
Languages : en
Pages : 219

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This book offers a practical guide to Agent Based economic modeling, adopting a “learning by doing” approach to help the reader master the fundamental tools needed to create and analyze Agent Based models. After providing them with a basic “toolkit” for Agent Based modeling, it present and discusses didactic models of real financial and economic systems in detail. While stressing the main features and advantages of the bottom-up perspective inherent to this approach, the book also highlights the logic and practical steps that characterize the model building procedure. A detailed description of the underlying codes, developed using R and C, is also provided. In addition, each didactic model is accompanied by exercises and applications designed to promote active learning on the part of the reader. Following the same approach, the book also presents several complementary tools required for the analysis and validation of the models, such as sensitivity experiments, calibration exercises, economic network and statistical distributions analysis. By the end of the book, the reader will have gained a deeper understanding of the Agent Based methodology and be prepared to use the fundamental techniques required to start developing their own economic models. Accordingly, “Economics with Heterogeneous Interacting Agents” will be of particular interest to graduate and postgraduate students, as well as to academic institutions and lecturers interested in including an overview of the AB approach to economic modeling in their courses.

Author: Mauro Gallegati
Publisher: Springer
ISBN: 3319938584
Category : Business & Economics
Languages : en
Pages : 90

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This book offers a thorough introduction to the highly promising complex agent-based approach to economics, in which agent-based models (ABMs) are used to represent economic systems as complex and evolving systems composed of heterogeneous agents of limited rationality who interact with each other, generating the system’s emergent properties in the process. This approach represents a response to the limitations of the dominant theory in economics, which does not consider the possibility of a major crisis, and to the inability of dynamic stochastic general equilibrium theory to generate empirically falsifiable propositions. In the new perspective, the focus is on identifying the elements of instability rather than the triggering event. As the theory of complexity demonstrates, the interactions of heterogeneous agents produce non-linearity: this puts an end to the age of certainties. With ABMs, the methodology is “from the bottom up”. The individual parameters and their distribution are estimated, and then evaluated to verify whether aggregate regularities emerge on the whole. In short, not only micro, but also meso and macro empirical validation are employed. Moreover, it shows that the mantra of growth should be supplanted by the concept of a growth​. Given its depth of coverage, the book will enable students at the undergraduate and Master’s level to gain a firm grasp of this important emerging approach. “This book is flower blossomed by one of the two greatest Italian economists.” Bruce Greenwald, Columbia University “The author’s - the ABM prophet’s - thoughts on economics have been at the forefront of the world. Without a firm belief in and dedication to human society, it is impossible to write such a book. This is a work of high academic value, which can help readers quickly understand the history and current situation of complex economic theory. In particular, we can understand the basic viewpoints, academic status, advantages and shortcomings of various schools of economic theory.” Jie Wu, Guangzhou Milestone Software Co., China

Author: Juan Carlos Parra-Alvarez
Publisher:
ISBN: 9783957297471
Category :
Languages : de
Pages :

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Author: André Grow
Publisher: Springer
ISBN: 3319322834
Category : Social Science
Languages : en
Pages : 511

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Book Description
This book examines the use of agent-based modelling (ABM) in population studies, from concepts to applications, best practices to future developments. It features papers written by leading experts in the field that will help readers to better understand the usefulness of ABM for population projections, how ABM can be injected with empirical data to achieve a better match between model and reality, how geographic information can be fruitfully used in ABM, and how ABM results can be reported effectively and correctly. Coverage ranges from detailing the relation between ABM and existing paradigms in population studies to infusing agent-based models with empirical data. The papers show the benefits that ABM offers the field, including enhanced theory formation by better linking the micro level with the macro level, the ability to represent populations more adequately as complex systems, and the possibility to study rare events and the implications of alternative mechanisms in artificial laboratories. In addition, readers will discover guidelines and best practices with detailed examples of how to apply agent-based models in different areas of population research, including human mating behaviour, migration, and socio-structural determinants of health behaviours. Earlier versions of the papers in this book have been presented at the workshop “Recent Developments and Future Directions in Agent-Based Modelling in Population Studies,” which took place at the University of Leuven (KU Leuven), Belgium, in September 2014. The book will contribute to the development of best practices in the field and will provide a solid point of reference for scholars who want to start using agent-based modelling in their own research.

Author: John B. Taylor
Publisher: Elsevier
ISBN: 0444594884
Category : Business & Economics
Languages : en
Pages : 2744

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Book Description
Handbook of Macroeconomics Volumes 2A and 2B surveys major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues, including fiscal, monetary, and regulatory policies to deal with crises, unemployment, and economic growth. As this volume shows, macroeconomics has undergone a profound change since the publication of the last volume, due in no small part to the questions thrust into the spotlight by the worldwide financial crisis of 2008. With contributions from the world’s leading macroeconomists, its reevaluation of macroeconomic scholarship and assessment of its future constitute an investment worth making. Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade Builds upon Volume 1 by using its section headings to illustrate just how far macroeconomic thought has evolved