Handbook of Computational Economics

Chapter 6

Solving and Simulating Models with Heterogeneous Agents and Aggregate Uncertainty

Yann Algan^a, Olivier Allais^b, Wouter J. Den Haan^{c, d} and Pontus Rendahl^e,    ^aSciences Po, Paris, France,    ^bINRA, UR1303 ALISS, Ivry-sur-Seine, France,    ^cCentre for Macroeconomics, London School of Economics, London, UK,    ^dCEPR, London, UK,    ^eCentre for Macroeconomics, University of Cambridge, Cambridge, UK,    ^a [e-mail],    ^b [e-mail],    ^d [e-mail],    ^e [e-mail]

Abstract

Although almost nonexistent 15 years ago, there are now numerous papers that analyze models with both aggregate uncertainty and a large number—typically a continuum—of heterogeneous agents. These models make it possible to study ...