异质性代理人模型的有限信息估计
Limited-Information Estimation of Heterogeneous Agent Models
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中文总结 AI 辅助
该研究提出一种有限信息方法，无需假设宏观经济其余部分结构，即可估计检验异质性代理人宏观模型模块，通过匹配代理人选择横截面矩与充分统计量的经验脉冲响应完成，还在模拟中估计了两资产异质性家庭模型模块。
中文摘要 AI 辅助
我们开发了一种方法，用于估计和检验具有异质性代理人的宏观经济模型的单个模块，而无需对经济其余部分的结构做出假设。在一大类模型中，个体代理人的决策仅通过对有限维“充分统计量”向量（如资产回报或总收益）演变的预期依赖于宏观经济。我们的估计器选择结构参数，以使以下两者之间的模型一致拟合度最佳：(a) 代理人选择的横截面矩（如消费矩）对已识别宏观冲击的经验脉冲响应，以及 (b) 充分统计量向量。在模拟示例中，我们估计了一个两资产异质性家庭模型模块，未对生产、企业投资、金融中介、货币政策、贸易等做出限制。
英文摘要
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.
