[Computing HA models]


Useful papers & technics:

Endogenous Grid Method (EGM)

Other technics

  • [EXPECTATION 1] Useful tool to approximate expectations over normally distributed shocks: Gauss-Hermite + Monomial Rule.
  • [EXPECTATION 2] 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)
  • [SMM] Estimating HA models :: Sobol sequence
  • [VAR, AR(1)] Discretizing VAR: Farmer et Toda (2013)


Replications

int C++ // (for discrete time)

  • [HOUSING] Solve standard housing macroeconomic models with DC-EGM, Sommer & Sullivan AER (2018). Useful note here, code available upon-request.
  • [AIYAGARI] Solve the Aiyagari model in 0.04 – 0.14 seconds with EGM + Young method (2010). Useful note (by Josep Pijoan-Mas) is available here. Download my code (iterate on marginal utilities or value functions with code available upon-request).
  • [SGM] Solve the stochastic growth model using EGM, Barillas & Villaverde (2007), code here.
  • [ENTREPRENEURSHIP] Solve Cagetti & DeNardi (2006) in 3s with DC-EGM, code available upon-request.


MatLab % (for continuous time)

  • [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: here.
  • [HANK] Heterogenous Agent New Keynesian (HANK) (Kaplan et al. (2018)) model and the code available here: (not yet available), note: here.


Useful Links