dc.contributor.author | Reiter, Michael | de |
dc.date.accessioned | 2023-10-30T11:08:55Z | |
dc.date.available | 2023-10-30T11:08:55Z | |
dc.date.issued | 2023 | de |
dc.identifier.uri | https://www.ssoar.info/ssoar/handle/document/90148 | |
dc.description.abstract | This paper develops a method to compute second-order perturbations of discretetime heterogeneous agent models. It addresses the three main tasks to make second-order approximations tractable: state reduction, generating sufficient smoothness, and fast computation of the quadratic terms in the perturbation solution. The method is applied to a model with divisible labor, one with indivisible labor, and to an OLG model with stochastic aging. Compared to a linearized solution, second-order perturbations achieve substantially higher accuracy if models are subject to large or medium-sized aggregate shocks. They also capture precautionary behavior with respect to aggregate shocks. A general method of state reduction is developed, called "conditional-expectations approach". In the example models, it performs better in terms of accuracy and reliability than alternative approaches. | de |
dc.language | en | de |
dc.subject.ddc | Wirtschaft | de |
dc.subject.ddc | Economics | en |
dc.subject.other | heterogeneous agents; model reduction; perturbation methods | de |
dc.title | State Reduction and Second-order Perturbations of Heterogeneous Agent Models | de |
dc.description.review | begutachtet | de |
dc.description.review | reviewed | en |
dc.source.volume | 49 | de |
dc.publisher.country | AUT | de |
dc.publisher.city | Wien | de |
dc.source.series | IHS Working Paper | |
dc.subject.classoz | Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik | de |
dc.subject.classoz | Economic Statistics, Econometrics, Business Informatics | en |
dc.identifier.urn | urn:nbn:de:0168-ssoar-90148-4 | |
dc.rights.licence | Creative Commons - Namensnennung 4.0 | de |
dc.rights.licence | Creative Commons - Attribution 4.0 | en |
ssoar.contributor.institution | IHS (Wien) | de |
internal.status | formal und inhaltlich fertig erschlossen | de |
dc.type.stock | monograph | de |
dc.type.document | Arbeitspapier | de |
dc.type.document | working paper | en |
dc.source.pageinfo | 43 | de |
internal.identifier.classoz | 10905 | |
internal.identifier.document | 3 | |
dc.contributor.corporateeditor | Institut für Höhere Studien (IHS), Wien | |
internal.identifier.corporateeditor | 191 | |
internal.identifier.ddc | 330 | |
dc.description.pubstatus | Veröffentlichungsversion | de |
dc.description.pubstatus | Published Version | en |
internal.identifier.licence | 16 | |
internal.identifier.pubstatus | 1 | |
internal.identifier.review | 2 | |
internal.identifier.series | 1457 | |
internal.pdf.valid | false | |
internal.pdf.wellformed | true | |
internal.pdf.encrypted | false | |