Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/222661 
Year of Publication: 
2020
Series/Report no.: 
Deutsche Bundesbank Discussion Paper No. 42/2020
Publisher: 
Deutsche Bundesbank, Frankfurt a. M.
Abstract: 
We study the statistical properties of heterogeneous agent models. Using aBewley-Hugget-Aiyagari model we compute the density function of wealth and in-come and use it for likelihood inference. We study the finite sample properties of themaximum likelihood estimator (MLE) using Monte Carlo experiments on artificialcross-sections of wealth and income. We propose to use the Kullback-Leibler diver-gence to investigate identification problems that may affect inference. Our resultssuggest that the unrestricted MLE leads to considerable biases of some parameters.Calibrating weakly identified parameters allows to pin down the other unidentifiedparameter without compromising the estimation of the remaining parameters. Weillustrate our approach by estimating the model for the U.S. economy using wealthand income data from the Survey of Consumer Finances.
Subjects: 
Heterogeneous agent models
Continuous-time
Fokker-Planck equations
Kullback-Leibler divergence
Maximum likelihood
JEL: 
C10
C13
C63
E21
E24
ISBN: 
978-3-95729-748-8
Document Type: 
Working Paper

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