A method for solving and estimating heterogeneous agent macro models
异质性主体宏观模型的求解与估计方法
I develop a computational method for solving and estimating heterogeneous agent macro models with aggregate shocks. The main challenge is that the aggregate state vector contains the distribution of agents, which is typically infinite‐dimensional. I approximate the distribution with a flexible parametric family, reducing its dimensionality to a finite set of endogenous parameters, and solve for the dynamics of these endogenous parameters by perturbation. I implement the…