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Discussion of estimating linearized heterogeneous agent models using panel data

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  • Den Haan, Wouter J.

Abstract

The techniques proposed in Papp and Reiter (2020) allow the use of cross-sectional and aggregate data observed at different frequencies in the estimation of dynamic stochastic macroeconomic models. However, the question is whether technique is getting ahead of what is sensible in terms of currently available empirical strategies to estimate macroeconomic models which are – without exception – misspecified.

Suggested Citation

  • Den Haan, Wouter J., 2020. "Discussion of estimating linearized heterogeneous agent models using panel data," LSE Research Online Documents on Economics 103971, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:103971
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    File URL: http://eprints.lse.ac.uk/103971/
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    References listed on IDEAS

    as
    1. Prescott, Edward C., 1986. "Theory ahead of business-cycle measurement," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 11-44, January.
    2. Algan, Yann & Allais, Olivier & Den Haan, Wouter J., 2008. "Solving heterogeneous-agent models with parameterized cross-sectional distributions," Journal of Economic Dynamics and Control, Elsevier, vol. 32(3), pages 875-908, March.
    3. repec:hal:spmain:info:hdl:2441/41rhqgovpp8hnq9i7ndtl26ltm is not listed on IDEAS
    4. Papp, Tamás K. & Reiter, Michael, 2020. "Estimating linearized heterogeneous agent models using panel data," Journal of Economic Dynamics and Control, Elsevier, vol. 115(C).
    5. Reiter, Michael, 2009. "Solving heterogeneous-agent models by projection and perturbation," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 649-665, March.
    6. Thomas Winberry, 2018. "A method for solving and estimating heterogeneous agent macro models," Quantitative Economics, Econometric Society, vol. 9(3), pages 1123-1151, November.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    heterogeneous agents; misspecification; solution techniques;
    All these keywords.

    JEL classification:

    • J1 - Labor and Demographic Economics - - Demographic Economics

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