Want to solve heterogeneous-agent models with multiple endogenous state variables, say a multi-asset HANK model?
@soroushs.bsky.social and @patricksecon.bsky.social developed a much-improved finite-difference scheme for such problems: https://github.com/SSabet/NestedDrift
Also here https://benjaminmoll.com/codes/
@soroushs.bsky.social and @patricksecon.bsky.social developed a much-improved finite-difference scheme for such problems: https://github.com/SSabet/NestedDrift
Also here https://benjaminmoll.com/codes/
Comments
While we got the numerics to work at the time, we were never quite happy with them e.g. things could be unstable when changing parameters etc
Soroush and Patrick's algorithm clearly dominates and supersedes ours!