In economic theory and econometrics, the term heterogeneity refers to differences across the units being studied. For example, a macroeconomic model in which consumers are assumed to differ from one another is said to have heterogeneous agents.
In econometrics, statistical inferences may be erroneous if, in addition to the observed variables under study, there exist other relevant variables that are unobserved, but correlated with the observed variables; dependent and independent variables .
Methods for obtaining valid statistical inferences in the presence of unobserved heterogeneity include the instrumental variables method; multilevel models, including fixed effects and random effects models; and the Heckman correction for selection bias.
Economic models are often formulated by means of a representative agent. Depending on the application, individual agents can be aggregated to or represented by a single agent. For example, individual demand can be aggregated to market demand if and only if individual preferences are of the Gorman polar form (or equivalently satisfy linear and parallel Engel curves). Under this condition, even heterogeneous preferences can be represented by a single aggregate agent simply by summing over individual demand to market demand. However, some questions in economic theory cannot be accurately addressed without considering differences across agents, requiring a heterogeneous agent model.
How to solve a heterogeneous agent model depends on the assumptions that are made about the expectations of the agents in the model. Broadly speaking, models with heterogeneous agents fall into the category of agent-based computational economics (ACE) if the agents have adaptive expectations (see artificial financial market), or into the category of dynamic stochastic general equilibrium (DSGE) if the agents have rational expectations. DSGE models with heterogeneneous agents are especially difficult to solve, and have only recently become a widespread topic of research; most early DSGE research instead focused on representative agent models.
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Agent-based computational economics (ACE) is the area of computational economics that studies economic processes, including whole economies, as dynamic systems of interacting agents. As such, it falls in the paradigm of complex adaptive systems. In corresponding agent-based models, the "agents" are "computational objects modeled as interacting according to rules" over space and time, not real people. The rules are formulated to model behavior and social interactions based on incentives and information.
In economics, an aggregate is a summary measure. It replaces a vector that is composed of many real numbers by a single real number, or a scalar. Consequently, there occur various problems that are inherent in the formulations that use aggregated variables. The aggregation problem is the difficult problem of finding a valid way to treat an empirical or theoretical aggregate as if it reacted like a less-aggregated measure, say, about behavior of an individual agent as described in general microeconomic theory (see Representative agent, Heterogeneity in economics).
Un modèle d'équilibre général dynamique stochastique (en anglais, Dynamic Stochastic General Equilibrium, DSGE) est un modèle économique qui se base sur la théorie de l'équilibre général afin de permettre d'évaluer l'impact macroéconomique d'une politique monétaire ou budgétaire. Le modèle DSGE a été créé par l'école de la nouvelle économie keynésienne sur la base des travaux des modèles de cycles réels (modèles RBC) de Finn E. Kydland et Edward C. Prescott.
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