[Computation HA models]
[Computation HA models]
Replications
Replications
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.
Useful papers & technics:
Useful papers & technics:
- [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)
Useful Links
Useful Links
- Jean-Pierre’s Moreau Homepage: useful codes and routines in C++ and Fortran.
- John Starchulski and Tom Sargent’s QuantEcon: useful codes in Julia / Python.
- Paul Bourke: useful tool for interpolations.
- John Burkardt: useful tool for many languages.
- Maliar et Maliar’s Book: all.