The DSGE.jl package implements the FRBNY DSGE model and provides general code to estimate many user-specified DSGE models. The package is introduced in the Liberty Street Economics blog post The FRBNY DSGE Model Meets Julia.
This Julia-language implementation mirrors the MATLAB code included in the Liberty Street Economics blog post The FRBNY DSGE Model Forecast.
FRBNY is currently working on extending the code to include forecasts and other features. Extensions of the DSGE model code may be released in the future at the discretion of FRBNY.
- Model Design
- Running an Existing Model
- Advanced Usage
- Package Directory Structure
- Working with Settings
- Accelerating Computation of Regime-Switching System
- Regime-Switching Forecasts
- Alternative Policy Uncertainty and Imperfect Awareness
- Automatically Generating Anticipated Shocks
- Automatic Endogenous ZLB Enforcement as Temporary Rule
- Editing or Extending a Model
- Additional Tips
- Input Data
- Loading data
- Non-FRED data sources
- Incorporate population forecasts
- Dataset creation implementation details
- Conditional data
- Common pitfalls
- Update sample input data
- Data Transforms and Utilities
- New York Fed DSGE Model 990 Data
- Solving the Model
- Contributing to DSGE.jl
Developers of this package at FRBNY include
Contributors to this package at QuantEcon include
DSGE.csminwel are based on routines originally copyright Chris Sims. The files are released here with permission of Chris Sims under the BSD-3 License.
kalman_filter routine is loosely based on a version of the Kalman filter algorithm originally copyright Federal Reserve Bank of Atlanta and written by Iskander Karibzhanov. The files are released here with permission of the Federal Reserve Bank of Atlanta under the BSD-3 License.