Discussion of estimating linearized heterogeneous agent models using panel data

(2020) Discussion of estimating linearized heterogeneous agent models using panel data Journal of Economic Dynamics and Control, 115: 103882. ISSN 0165-1889

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The techniques proposed in Papp and Reiter (2020) allow the use of cross-sectional and aggregate data observed at different frequencies in the estimation of dynamic stochastic macroeconomic models. However, the question is whether technique is getting ahead of what is sensible in terms of currently available empirical strategies to estimate macroeconomic models which are – without exception – misspecified.

Item Type	Article
Copyright holders	© 2020 Elsevier B.V.
Keywords	heterogeneous agents, misspecification, solution techniques
Departments	Centre for Macroeconomics
DOI	10.1016/j.jedc.2020.103882
Date Deposited	06 Apr 2020 07:54
Acceptance Date	2020-02-25
URI	https://researchonline.lse.ac.uk/id/eprint/103971