This is a listing of computer codes of interest to people working on
Quantitative Macroeconomics and Real Business
Cycle theory. Feel free to contribute.
If you use some code listed here, ACKNOWLEDGE its author! Even better,
Links to software have been moved from this page to the new SOFTWARE page.
Codes specifically related to Quantitative Macroeconomics
In an effort to prevent links from going broken and code to disappear
in the ether, more and more codes are now hosted on this server and
catalogued in RePEc. If you have some
relevant to QM&RBC, please consider having it catalogued in RePEc as well
through QM&RBC. Just contact me.
For Mathematica, there is a notebook,
written by Luci Ellis, who has also written a tutorial
for multivariate filters!
Ellen McGrattan's code: FORTRAN
code. There is little guidance though, so you will need to browse around quite a bit.
Harald Uhlig's Toolkit for Analyzing
Nonlinear Dynamic Stochastic Models Easily:
An updated NEW VERSION 4.1, May 2004
of Harald's "toolkit" MATLAB programs plus some new documents are
For example, there is an improved solution method, dealing better with
noninvertible "Psi"-matrices (in case this
means anything to you). For those who are discouraged with the complexity of building the required matrices, there is help: Kolver Hernandez has a neat Java tool where you just need to write the equations from your model.
CompEcon Toolbox for Matlab, code for the examples in Applied Computational Economics and Finance by Mario J. Miranda and Paul L. Fackler. It includes various solvers, for example for growth models or asset pricing.
FORTRAN-based package of numerical optimization that also contains
numerous statistical and utility routines. Written by Richard E. Quandt.
a program for the resolution of non-linear models with forward
looking variables using GAUSS, by Michel Juillard (CEPREMAP, Paris). Of particular interest are some codes for RBC models contributed by Jesús Fernández-Villaverde.
Felix Richies's XPReg makes
estimates with time carying parameters using GAUSS. This page includes
also a beginner's guide to GAUSS programming.
is a solution methodology for linear ratex and saddle point models. Papers
about this algorithm as well as code in Mathematica, Matlab and C are