Alexandre Gaillard - Computation

[Computation HA models]

int C++ // (for discrete time)

[ENTREPRENEURSHIP] Solve Cagetti & DeNardi (2006) in 3s with DC-EGM, code available upon-request.
[HOUSING] Solve standard housing macroeconomic models with EGM and DC-EGM, Sommer & Sullivan AER (2018). Useful note: Numerical Note: Solving Housing Macroeconomic Models with Discrete Choices, code available: Replication Code Sommer & Sullivan AER (2018).
[AIYAGARI] Solve the 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. Download my code iterate on marginal utilities or value functions: Aiyagari Code quick replication.
[SGM] Solve the stochastic growth model using EGM, Barillas & Villaverde (2007), code here.

MatLab % (for continuous time)

[HANK] Heterogenous Agent New Keynesian (HANK) (Kaplan et al. (2018)) model and the code available here: (not yet available), note: Heterogenous Agent New Keynesian Model Numerical solutions.
[AIYAGARI] Solve Aiyagari in 0.13 seconds with Envelope Condition Method (ECM), many codes available here: HATC project.
[AIYAGARI] Aiyagari in Continous Time with Jump-Drift Process. Code is available upon-request, note: Aiyagari Model in Continuous Time with Jump-Drift Income Process.

[EGM] Endogenous Grid Method: Caroll (2006)
[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)
[SIMULATION] Non-stochastic simulation routine: Young (2010)
[COLOCATION] Collocation Method: Collocation
[ECM] Envelop Condition Method (ECM): Maliar (2013)
[VAR, AR(1)] Discretizing VAR: Farmer et Toda (2013)