GitHub: AGaillardTSE

Replication files

C++

• Aiyagari: solve the standard Aiyagari model in 0.04 – 0.14 seconds with EGM + Young method (2010). Useful note (by Josep Pijoan-Mas) is available: Very short notes on the endogenous grid method. Code using iteration on marginal utilities or value functions: Aiyagari Code quick replication. 
• Entrepreneurial model: solve efficiently the Cagetti & DeNardi (2006, JPE) with endogenous borrowing constraint in 3s with DC-EGM, code available upon-request.
• Housing model: solve standard housing macroeconomic models of Sommer & Sullivan (2018, AER) with EGM and DC-EGM. Useful note: Numerical Note: Solving Housing Macroeconomic Models with Discrete Choices, code available: Replication Code Sommer & Sullivan AER (2018).

• Heterogenous Agent New Keynesian (HANK) of Kaplan et al. (2018, AER), note: HANK Model Numerical solutions, Two-Country (2C)HANK model.

• Aiyagari in Continous Time with Jump-Drift Process. Code is available upon-request, note: Aiyagari Model in Continuous Time with Jump-Drift Income Process.

Useful papers, technics and links

• [EGM] Endogenous Grid Method: Caroll (2006), [ECM] Envelop Condition Method: Maliar (2013), [DC-EGM] algorithm to solve discrete-continuous choice models using EGM: Iskhakov et al. (2017). [G2-EGM] Multi-dimensional DC-EGM algorithm: Druedhal and Jørgensen (2017). [N-EGM] Nested Engodenous Grid Method :: Hintermaier and Koeniger (2012), Druedhal (2019)
• [EXPECTATION] Computing expectations of value functions using polynomials: Judd et al. (2017)
• [COLOCATION] Collocation Method: Collocation, 
• [VAR, AR(1)] Discretizing VAR: Farmer et Toda (2013)

• Jean-Pierre’s Moreau Homepage: useful codes and routines in C++ and Fortran. Paul Bourke: useful tool for interpolations, John Burkardt: useful tool for many languages.
• John Starchulski and Tom Sargent’s QuantEcon: useful codes in Julia / Python.
• Maliar et Maliar’s Book: all.
• HATC project.