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 or reverse-mode) automatic differentiation (AD)
- calculate (generalised) impulse response functions, simulate the model, or do conditional forecasts
- 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 (reverse-mode AD), model moments, steady state, with respect to the parameters
The package contains the following models in the models
folder:
- Smets and Wouters (2003)
SW03.jl
- Smets and Wouters (2007)
SW07.jl
- Schorfheide (2000)
FS2000.jl
- Ascari and Sbordone (2014)
Ascari_sbordone_2014.jl
- Gerali, Neri, Sessa, and Signoretti (2010)
GNSS_2010.jl