Applying the Explicit Aggregation Algorithm to Heterogeneous Agent Models in Continuous Time

Joint with Takeki Sunakawa

Journal article · Replication code

Abstract

This paper applies the explicit aggregation (XPA) algorithm to the standard heterogeneous-agent model with aggregate uncertainty in continuous time. The XPA algorithm is faster than the Krusell–Smith algorithm because it does not rely on simulations within the solution algorithm. It is also more accurate than the perturbation method when aggregate uncertainty is large.

Recommended citation: Emoto, Masakazu, and Takeki Sunakawa. (2021). "Applying the Explicit Aggregation Algorithm to Heterogeneous Agent Models in Continuous Time." Economics Letters, 206, 109940.
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