We propose a general and highly efficient method for solving and estimating general
equilibrium heterogeneous‐agent models with aggregate shocks in discrete time. Our …

We show how a heterogeneous agent New Keynesian (HANK) model with incomplete
markets and portfolio choice can be estimated in state space using a Bayesian approach. To …

We quantify the connection between inequality and business cycles in a medium-scale New
Keynesian model with tractable household heterogeneity, estimated with aggregate and …

We develop a state-space model with a transition equation that takes the form of a functional
vector autoregression (VAR) and stacks macroeconomic aggregates and a cross-sectional …

Economists typically make simplifying assumptions to make the solution and estimation of
their highly complex models feasible. These simplifications include approximating the true …

We develop a generally applicable full‐information inference method for heterogeneous
agent models, combining aggregate time series data and repeated cross‐sections of micro …

In this paper we use the functional vector autoregression (VAR) framework of Chang, Chen,
and Schorfheide (2021) to study the effects of monetary policy shocks (conventional and …

We document the real-time forecasting performance for output and inflation of the New York
Fed dynamic stochastic general equilibrium (DSGE) model since 2011. We find the DSGE's …

We explain how to use the composite likelihood function to ameliorate estimation,
computational and inferential problems in dynamic stochastic general equilibrium models …

Modern macroeconometrics often relies on time series models for which it is time-consuming
to evaluate the likelihood function. We demonstrate how Bayesian computations for such …