UConnEconQMRBC

QM&RBC Codes Online

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, cite her/him!

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.

To see the complete holdings, look at QM&RBC codes on IDEAS.

Within this list the most popular ones are:

Other codes which are not housed here, either because their link is deemed stable or because their authors prefer to keep them on their home page:
* Code elsewhere on IDEAS:
  • For Mathematica, there is a notebook, written by Luci Ellis, who has also written a tutorial for multivariate filters!
    * Ellen McGrattan's code: FORTRAN and MATLAB 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 available here. 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. GQOPT/PC, a FORTRAN-based package of numerical optimization that also contains numerous statistical and utility routines. Written by Richard E. Quandt.
    * The Gauss and FORTRAN code to implement the methods described in "Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models" by George Tauchen and Robert Hussey, Econometrica, 1991
    *DYNARE, 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.
    * The Anderson-Moore Algorithm 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 available.
    * Numerical Methods in Economics, the web site to the book with the same title by Ken Judd, has some interesting codes as well.
    *Pawel Kowal has two interesting peices of code: GEMLLIB Matlab code for specifying and solving DSGE models, and Matlab implementation of commonly used filters.

    • More general collections

    *Software and script collections on IDEAS
    *GAMS: Guide to Available Statistical Software (National Institute of Standards & Technology)
    *Econometrics Laboratory Software Archive (ELSA) at the University of California, Berkeley.
    *A Guide to Optimization Software (Optimization Technology Center)

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    URL: dge.repec.org/codes.html