A method for solving heterogeneous-agent models with aggregate shocks that replaces the infinite-dimensional distribution with a flexible parametric family, treats that family's moments as endogenous …
PublishedClassicQuantitative EconomicsOnline 1 Jan 2026Published Jan 2026
DeepHAM represents the distribution of agents through a small set of algorithmically-learned "generalized moments" and uses deep neural networks trained on directly simulated paths to globally solve …
PublishedClassicQuantitative EconomicsOnline 1 Nov 2020Published Nov 2020
A solution method for discrete-time heterogeneous-agent models with aggregate risk that extends Reiter's perturbation approach by compressing the state space after the no-aggregate-risk stationary …