Olaf Posch
Biographic Data
| ID | 9595501 |
|---|---|
| NAME | Olaf Posch |
| GIVEN NAMES | Olaf |
| FAMILY NAME | Posch |
| SIGNATURE | POSCH O |
| AFFILIATIONS | CREATES Center for Research in Econometric Analysis of Time Series Aarhus V 8210 Denmark |
| VERIFIED | No |
| 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)