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A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily

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Author Info
Harald Uhlig

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Abstract

This code supports the text in Harald Uhlig, A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily, Ramon Marimon and Andrew Scott (eds), Computational Methods for the Study of Dynamic Economies, Chapter 3, Oxford University Press. This chapter provides a toolkit for solving such nonlinear dynamic discrete-time stochastic models easily, building on log-linearizing the necessary equations characterizing the equilibrium and solving for the recursive equilibrium law of motion with the method of undetermined coefficients. This chapter comes with an extensive and well documented library of Matlab programs, which can be downloaded in a self-extracting zip-file. Read the readme.m file

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File URL: http://dge.repec.org/codes/marimon-scott/Uhlig/
File Format: application/x-matlab
File Function: program code
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Publisher Info
Software component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 123.

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Programming language: Matlab
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Date of creation: 1998
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Handle: RePEc:dge:qmrbcd:123

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. John Y. Campbell & John H. Cochrane, 1994. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," CRSP working papers 412, Center for Research in Security Prices, Graduate School of Business, University of Chicago. [Downloadable!]
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  2. Kenneth L. Judd, 1991. "Minimum weighted residual methods for solving aggregate growth models," Discussion Paper / Institute for Empirical Macroeconomics 49, Federal Reserve Bank of Minneapolis. [Downloadable!]
  3. Taylor, John B & Uhlig, Harald, 1990. "Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 1-17, January.
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  4. Gary D. Hansen & Edward C. Prescott, 1992. "Recursive methods for computing equilibria of business cycle models," Discussion Paper / Institute for Empirical Macroeconomics 36, Federal Reserve Bank of Minneapolis. [Downloadable!]
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  5. Binder,M. & Pesaran,H.M., 1995. "Multivariate Rational Expectations Models and Macroeconomic Modelling: A Review and Some New Results," Cambridge Working Papers in Economics 9415, Faculty of Economics, University of Cambridge.
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  6. Uhlig, H. & Xu, Y., 1996. "Effort and the cycle : Cyclical implications of efficiency wages," Discussion Paper 49, Tilburg University, Center for Economic Research. [Downloadable!]
  7. Roger E.A. Farmer & Jang Ting Guo, 1992. "Real Business Cycles and the Animal Spirits Hypothesis," UCLA Economics Working Papers 680, UCLA Department of Economics. [Downloadable!]
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  8. Hansen, Gary D., 1985. "Indivisible labor and the business cycle," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 309-327, November. [Downloadable!] (restricted)
  9. King, Robert G. & Rebelo, Sergio T., 1993. "Low frequency filtering and real business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 17(1-2), pages 207-231. [Downloadable!] (restricted)
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  10. Kydland, Finn E & Prescott, Edward C, 1991. " The Econometrics of the General Equilibrium Approach to Business Cycles," Scandinavian Journal of Economics, Blackwell Publishing, vol. 93(2), pages 161-78.
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  11. Kydland, Finn E & Prescott, Edward C, 1982. "Time to Build and Aggregate Fluctuations," Econometrica, Econometric Society, vol. 50(6), pages 1345-70, November. [Downloadable!] (restricted)
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  12. Campbell, John Y., 1994. "Inspecting the mechanism: An analytical approach to the stochastic growth model," Journal of Monetary Economics, Elsevier, vol. 33(3), pages 463-506, June. [Downloadable!] (restricted)
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  13. Brock, William A. & Mirman, Leonard J., 1972. "Optimal economic growth and uncertainty: The discounted case," Journal of Economic Theory, Elsevier, vol. 4(3), pages 479-513, June. [Downloadable!] (restricted)
  14. Danthine, J.P. & Donaldson, J.B., 1993. "Computing Equilibria of Non-Optimal Economies," Papers 93-01a, Columbia - Graduate School of Business.
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  15. Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, vol. 48(5), pages 1305-11, July. [Downloadable!] (restricted)
  16. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November. [Downloadable!] (restricted)
  17. Lars Peter Hansen & Ellen R. McGrattan & Thomas J. Sargent, 1994. "Mechanics of forming and estimating dynamic linear economies," Staff Report 182, Federal Reserve Bank of Minneapolis. [Downloadable!]
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