Near-Rational Equilibria in Heterogeneous-Agent Models: A Verification Method
提出一种基于模拟的通用程序，用于评估异质性主体均衡模型中近似策略的质量，通过赋予代理人未来经济路径的超前知识并施加惩罚，验证近似解是否构成近似理性均衡。
Abstract We propose a general simulation-based procedure for estimating the quality of approximate policies in heterogeneous-agent equilibrium models, which allows us to verify that such approximate solutions describe a near-rational equilibrium. Our procedure endows agents with superior knowledge of the future path of the economy, while imposing a suitable penalty for such foresight. The relaxed problem is more tractable than the original, and results in an upper bound on agents’ welfare. Our method applies to various solution algorithms. We illustrate our approach in two applications: the incomplete-markets model of Krusell and Smith (1998) and the heterogeneous firm model of Khan and Thomas (2008).