Using a Bewley‐Hugget‐Aiyagari model we show how to use the Fokker‐Planck equation for likelihood inference in heterogeneous agent (HA) models. We study the finite sample properties of the maximum likelihood estimator (MLE) in Monte Carlo experiments using cross‐sectional data on wealth and income. We use the Kullback–Leibler divergence to investigate identification problems that may affect inference. Unrestricted MLE leads to considerable biases of some parameters. Calibrating weakly identified parameters is shown to be useful to pin down the remaining structural parameters. We illustrate our approach by estimating the model for the US economy using the Survey of Consumer Finances.