Laura Liu, Mikkel Plagborg-Møller
arXiv 12 Jan 2021 · Econometrics · publishedQuantitative Economics (2023) · 17 citations (OpenAlex)
arXiv:2101.04771 · PDF · DOI · OpenAlex · Extracted main text
We develop a generally applicable full-information inference method for heterogeneous agent models, combining aggregate time series data and repeated cross sections of micro data. To handle unobserved aggregate state variables that affect cross-sectional distributions, we compute a numerically unbiased estimate of the model-implied likelihood function. Employing the likelihood estimate in a Markov Chain Monte Carlo algorithm, we obtain fully efficient and valid Bayesian inference. Evaluation of the micro part of the likelihood lends itself naturally to parallel computing. Numerical illustrations in models with heterogeneous households or firms demonstrate that the proposed full-information method substantially sharpens inference relative to using only macro data, and for some parameters micro data is essential for identification.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Winberry (2018) A method for solving and estimating heterogeneous agent macro models | 1.000 | 20 | 5 | 100% |
| 2 | Khan and Thomas (2008) Idiosyncratic Shocks and the Role of Nonconvexities in Plant and Aggregate Investment Dynamics | 1.000 | 11 | 3 | 100% |
| 3 | Reiter (2009) Solving Heterogeneous-Agent Models by Projection and Perturbation | 1.000 | 8 | 5 | 100% |
| 4 | Herbst and Schorfheide (2016) Bayesian Estimation of DSGE Models | 1.000 | 5 | 4 | 100% |
| 5 | Andrieu, Doucet, and Holenstein (2010) Particle Markov chain Monte Carlo methods | 1.000 | 5 | 3 | 100% |
| 6 | Winberry (2016) User Guide for “A Toolbox for Solving and Estimating Heterogeneous Agent Macro Models | 0.874 | 12 | 2 | 100% |
| 7 | Mongey and Williams (2017) Firm dispersion and business cycles: Estimating aggregate shocks using panel data | 0.874 | 6 | 2 | 100% |
| 8 | Krusell and Smith (1998) Income and Wealth Heterogeneity in the Macroeconomy | 0.843 | 3 | 3 | 100% |
| 9 | Ahn, Kaplan, Moll, Winberry, and Wolf (2017) When Inequality Matters for Macro and Macro Matters for Inequality | 0.811 | 4 | 2 | 100% |
| 10 | Flury and Shephard (2011) Bayesian Inference Based Only on Simulated Likelihood: Particle Filter Analysis of Dynamic Economic Models | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 36 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Identifying Preferences when households are financially constrained | 0.405 | 1 | 1 |
| 2 | Standard Errors for Calibrated Parameters | 0.405 | 1 | 1 |
| 3 | Firm Heterogeneity and Macroeconomic Fluctuations: a Functional VAR model | 0.405 | 1 | 1 |
| 4 | Inference in partially identified moment models via regularized optimal transport | 0.405 | 1 | 1 |