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DTSTAMP:20190719T085743Z
LOCATION:HG D 3.2
DTSTART;TZID=Europe/Stockholm:20190612T143000
DTEND;TZID=Europe/Stockholm:20190612T150000
UID:submissions.pasc-conference.org_PASC19_sess124_msa124@linklings.com
SUMMARY:Solving Heterogeneous Agent Models in Discrete Time with Many Idio
 syncratic States by Perturbation Methods
DESCRIPTION:Minisymposium\nEmerging Application Domains\n\nSolving Heterog
 eneous Agent Models in Discrete Time with Many Idiosyncratic States by Per
 turbation Methods\n\nLuetticke\n\nThis paper describes a method for solvin
 g heterogeneous agent models with aggregate risk and many idiosyncratic st
 ates formulated in discrete time. It extends the method proposed by Reiter
  (2009) and complements recent work by Ahn et al. (2017) on how to solve s
 uch models in continuous time. We suggest first solving for the stationary
  equilibrium of the model without aggregate risk. We then write the functi
 onals that describe the recursive equilibrium as sparse expansions around 
 their stationary equilibrium counterparts. Finally we use the perturbation
  method of Schmitt-Grohé and Uribe (2004) to approximate the aggreg
 ate dynamics of the model.
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