MacroModelling.jl - fast prototyping of dynamic stochastic general equilibrium (DSGE) models
Author: Thore Kockerols (@thorek1)
The package currently supports dicsrete-time DSGE models and the timing of a variable reflects when the variable is decided (end of period for stock variables).
As of now the package can:
- parse a model written with user friendly syntax (variables are followed by time indices
...[2], [1], [0], [-1], [-2]..., or[x]for shocks) - (tries to) solve the model only knowing the model equations and parameter values (no steady state file needed)
- calculate first, second, and third order perturbation solutions using (forward) automatic differentiation (AD)
- calculate (generalised) impulse response functions, and simulate the model
- calibrate parameters using (non stochastic) steady state relationships
- match model moments
- estimate the model on data (kalman filter using first order perturbation)
- differentiate (forward AD) the model solution (first order perturbation), kalman filter loglikelihood, model moments, steady state, with respect to the parameters