Auclert, Majic, Rognlie, and Straub show that the sequence-space Jacobians used to solve macro models with rich heterogeneity have a special "quasi-Toeplitz" mathematical structure, which yields a …
PublishedClassicJournal of Economic Dynamics and ControlPublished Apr 2018
This paper proposes computing the aggregate-uncertainty equilibrium of a heterogeneous-agent model by solving, entirely with standard nonlinear methods, the deterministic transition path back to …
PublishedClassicJournal of Economic Dynamics and ControlPublished Mar 2009
This paper proposes a numerical method for solving general-equilibrium models with a continuum of heterogeneous agents that combines projection (a fully nonlinear, high-dimensional representation of …
Auclert, Bardóczy, Rognlie, and Straub introduce the "sequence-space Jacobian," a fast algorithm for computing the first-order derivatives of general-equilibrium heterogeneous-agent models with …