The Sequential Endogenous Grid Method
Efficient method for solving heterogeneous agent models with multiple decisions, extending the Endogenous Grid Method with Gaussian Process Regression for unstructured grids.
Heterogeneous Agents
Theory-Informed Neural Networks for Heterogeneous-Agent Macroeconomics: A Generalized Method of Moderation for Consumption under Uncertainty
Analytical buffer-stock bounds in the network’s output layer anchor the learned policy in the high-wealth tail. On the Krusell-Smith testbed, out-of-sample Euler errors are orders of magnitude smaller where capital concentrates.
Households and Market Stability
Novel framework combining macroeconomic and agent-based financial market modeling to study financial stability with household agents.
Structural Estimation of Life Cycle Models with Wealth in the Utility Function
Enhances heterogeneous agent models by integrating life cycle considerations and wealth-dependent utility into structural estimation.
Simulating Heterogeneous Portfolio Choices and Financial Market Outcomes
Uses a unique stock market model to show how investors with different expectations impact financial stability. Supported by DARPA.