Laura Liu, Mikkel Plagborg-Møller, Nelson Matthew P. Tan
arXiv 14 Aug 2026 · Econometrics
arXiv:2608.13953 · PDF · Extracted main text
We develop a method for estimating and testing a single block of a macroeconomic model with heterogeneous agents, without placing assumptions on the structure of the rest of the economy. In a large class of models, individual agents' decisions depend on the macroeconomy only through their expectations of the evolution of a finite-dimensional vector of "sufficient statistics" (e.g., asset returns or aggregate earnings). Our estimator selects the structural parameters that provide the best model-consistent fit between empirical impulse responses with respect to identified macro shocks of (a) cross-sectional moments of agent choices (e.g., moments of consumption) and (b) the vector of sufficient statistics. In a simulation illustration, we estimate a two-asset heterogeneous household model block without restricting production, firm investment, financial intermediation, monetary policy, trade, etc.
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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 | Adrien Auclert and Bence Bardóczy and Matthew Rognlie and Ludwig Str… (2021) Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models | 1.000 | 23 | 5 | 100% |
| 2 | Kaplan, Greg and Moll, Benjamin and Violante, Giovanni L (2018) Monetary Policy According to HANK | 0.928 | 4 | 3 | 100% |
| 3 | Andrews, DWK (1991) Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation | 0.843 | 4 | 3 | 75% |
| 4 | Newey, Whitney K and McFadden, Daniel L (1994) Large Sample Estimation and Hypothesis Testing | 0.822 | 9 | 3 | 56% |
| 5 | Regis Barnichon and Geert Mesters (2020) Identifying Modern Macro Equations with Old Shocks | 0.811 | 4 | 2 | 100% |
| 6 | Michael Reiter (2009) Solving heterogeneous-agent models by projection and perturbation | 0.737 | 3 | 2 | 100% |
| 7 | Rainer Dahlhaus (1988) Empirical spectral processes and their applications to time series analysis | 0.644 | 3 | 2 | 67% |
| 8 | Timo Boppart and Per Krusell and Kurt Mitman (2018) Exploiting MIT shocks in heterogeneous-agent economies: the impulse response as a numerical derivative | 0.644 | 2 | 2 | 100% |
| 9 | Ramey, Valerie A (2016) Macroeconomic Shocks and Their Propagation | 0.644 | 2 | 2 | 100% |
| 10 | Brillinger, David R (1981) Time Series: Data Analysis and Theory | 0.606 | 9 | 2 | 33% |
Showing the top 10 of 43 scored citations.