Computation of equilibria in OLG models with many heterogeneous households
This paper develops a decomposition algorithm by which a market economy with many households may be solved through the computation of equilibria for a sequence of representative agent economies. The paper examines local and global convergence properties of the sequential recalibration (SR) algorithm...
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| Main Authors: | , |
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| Format: | Article (Journal) |
| Language: | English |
| Published: |
10 June 2010
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| In: |
Computational economics
Year: 2010, Volume: 36, Issue: 2, Pages: 171-189 |
| ISSN: | 1572-9974 |
| DOI: | 10.1007/s10614-010-9229-8 |
| Online Access: | Verlag, lizenzpflichtig, Volltext: https://doi.org/10.1007/s10614-010-9229-8
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| Author Notes: | Sebastian Rausch, Thomas F. Rutherford |
| Summary: | This paper develops a decomposition algorithm by which a market economy with many households may be solved through the computation of equilibria for a sequence of representative agent economies. The paper examines local and global convergence properties of the sequential recalibration (SR) algorithm. The SR algorithm is then demonstrated to efficiently solve Auerbach-Kotlikoff OLG models with a large number of heterogeneous households. We approximate equilibria in OLG models by solving a sequence of related Ramsey optimal growth problems. This approach can provide improvements in both efficiency and robustness as compared with integrated complementarity-based solution methods. |
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| Item Description: | Gesehen am 17.04.2023 |
| Physical Description: | Online Resource |
| ISSN: | 1572-9974 |
| DOI: | 10.1007/s10614-010-9229-8 |