/RA_HetAgents

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RA_HetAgents

These are a selection of codes on heterogeneous agent models that I am working on with Gianluca Violante. All of these codes are written in Julia. Some codes (such as the heterogeneous agent New Keynesian model that uses the sequence space jacobian) use python routines written by Adrien Auclert, Bence Bardóczy, Matthew Rognlie, and Ludwig Straub from their paper "Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models".

These are the codes you can currently find in the repository:

  1. "rowenhorst_tauchen.jl": functions that discretize univariate AR(1) processes
  2. "income_process_simulations.ipynb": income process simulations using Rowenhorst and Tauchen
  3. "EGM.ipynb": Carrol's (2006) endogenous gridpoint method without labor choice
  4. "EGM.ipynb": Carrol's (2006) endogenous gridpoint method with separable labor in utility
  5. "IFP_finite_horizon.ipynb": the income fluctuations problem with a finite horizon
  6. "VFI_no_labor.ipynb": standard value function iteration with no labor + Howard improvement step
  7. "VFI_with_labor.ipynb": standard value function iteration with labor + Howard improvement step
  8. "collocation.ipynb": value function iteration using collocation methods with labor supply
  9. "stationary_distributions.ipynb": obtaining stationary distributions in the income fluctuations problem using (i) simulation, (ii) Young's (2010) method, and (iii) the eigenvector method
  10. "Aiyagari_no_labor.ipynb": solving for the general equilibrium steady-state of the Aiyagari model with no labor supply
  11. "Aiyagari_with_labor.ipynb": solving for the general equilibrium steady-state of the Aiyagari model with labor supply choice
  12. "Krusell_Smith_SSJ.ipynb": obtaining transitional dynamics in the Krussel-Smith model using the sequence-space Jacobian method
    1. "HANK.ipynb": the main file that (i) solves a HANK model, (ii) calibrates the steady-state, (iii) obtains transitional dynamics, and (iv) simulates an economy with aggregate shocks using the BKM (2018) method
    2. "HANK_supplement.ipynb": Python code that uses Auclert et al.'s (2021) code to find Jacobians of simple blocks, accumulate, and obtain the general equilibrium Jacobians.
  14. "Aiyagari_continuous_time.ipynb" Solving the HJB, KFE, and obtaining the market clearing interest rate in the Aiyagari model where income follows an Ornstein-Uhlenbeck process.

These are the codes you can expect to find in the repository in the near future:

  1. Continuous time: (i) the Aiyagari model with transitional dynamics (shooting algorithm)
  2. The Aiyagari model with aggregate shocks using the Krusell-Smith method (no labor supply choice)
  3. The Aiyagari model with aggregate shocks using the Krusell-Smith method (with labor supply choice OR bond choice)
  4. The endogenous gridpoint method with multiple choice variables
  5. Solving dynamic programming problems with discrete choice + concavifying the value function via uncertainty (probably via i.i.d. utility shocks)
  6. A model with default on unsecured debt
  7. Time permitting continuous time: (i) using the master equation to obtain transitional dynamics, (ii) continuous time with aggregate shocks using projection methods

IMPORTANT: if you find the code to be unclear, you find any errors, or believe there is a way to make it more efficient, I would be grateful if you could send me a quick e-mail at gn3@princeton.edu