Juan Carlos Parra‐Alvarez
Biographic Data
| ID | 9595500 |
|---|---|
| NAME | Juan Carlos Parra‐Alvarez |
| GIVEN NAMES | Juan Carlos |
| FAMILY NAME | Parra‐Alvarez |
| SIGNATURE | ALVAREZ J C P |
| AFFILIATIONS | Department of Economics and Business Economics Aarhus University Fuglesangs Allé 4 8210 Aarhus V Denmark |
| ORCID | 0000-0001-9076-9021 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2023 |
| LATEST PUBLICATION YEAR | 2023 |
| H-INDEX | 0 |
Estimation of Heterogeneous Agent Models
Using a Bewley‐Hugget‐Aiyagari model we show how to use the Fokker‐Planck equation for likelihood inference in heterogeneous agent (HA) models. We study the finite sample properties of the maximum likelihood estimator (MLE) in Monte Carlo experiments using cross‐sectional data on wealth and income. We use the Kullback–Leibler divergence to investigate identification problems that may affect inference. Unrestricted MLE leads to considerable biases…
No prominent works on this page.
Estimation of Heterogeneous Agent Models
Using a Bewley‐Hugget‐Aiyagari model we show how to use the Fokker‐Planck equation for likelihood inference in heterogeneous agent (HA) models. We study the finite sample properties of the maximum likelihood estimator (MLE) in Monte Carlo experiments using cross‐sectional data on wealth and income. We use the Kullback–Leibler divergence to investigate identification problems that may affect inference. Unrestricted MLE leads to considerable biases…
Applied Mathematics (1 work) · Artificial Intelligence (1 work) · Complex Systems and Time Series Analysis (1 work) · Computer Science (1 work) · Econometrics (1 work) · Economic theories and models (1 work) · Estimator (1 work) · Inference (1 work) · Kullback–Leibler divergence (1 work) · Mathematics (1 work)