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,
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:
- Hodrick-Prescott filters for: FORTRAN, Matlab (1), Matlab (2), STATA, RATS, GAUSS (1), GAUSS (2), GAUSS (3), GAUSS (4), Gauss (alternative), TSP 4.4, perl, web interface, Mathematica Notebook, DLL, Excel, Java.
- Band-pass filters for: STATA (1), STATA (2), RATS, perl, web interface, Excel.
- Matlab code for the Kalman filter (Tom Sargent)
- Kydland and Prescott Time-to-build paper: a DOS executable and a web interface.
- Backus, Kehoe, Kydland J-Curve (International Real Business Cycles): a DOS executable and a web interface.
- Matlab code for Real Business Cycle Models: Linear Approximation and GMM Estimation (Craig Burnside)
- Matlab Optimization Software (Chris Sims)
- Matlab code for policy iteration algorithm (Tom Sargent)
- Matlab code for Solving Dynamic General Equilibrium Models Using a Second-Order Approximation to the Policy Function (Schmitt-Grohé and Uribe)
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
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.
The Gauss and FORTRAN code to implement the methods described
Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing
Models" by George Tauchen and Robert Hussey, Econometrica, 1991
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
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)
© Copyright 1995-2007 Christian Zimmermann
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