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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| Hauptverfasser: | , |
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| Dokumenttyp: | Article (Journal) |
| Sprache: | Englisch |
| Veröffentlicht: |
10 June 2010
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| In: |
Computational economics
Year: 2010, Jahrgang: 36, Heft: 2, Pages: 171-189 |
| ISSN: | 1572-9974 |
| DOI: | 10.1007/s10614-010-9229-8 |
| Online-Zugang: | Verlag, lizenzpflichtig, Volltext: https://doi.org/10.1007/s10614-010-9229-8
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| Verfasserangaben: | Sebastian Rausch, Thomas F. Rutherford |
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| 520 | |a 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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| 650 | 4 | |a Overlapping generations | |
| 650 | 4 | |a Sequential recalibration | |
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