IDEAS home Printed from https://ideas.repec.org/p/fip/fednls/87192.html
   My bibliography  Save this paper

Forecasting with Julia

Author

Listed:

Abstract

A little more than a year ago, in this post, we announced DSGE.jl—a package for working with dynamic stochastic general equilibrium (DSGE) models using Julia, the open-source computing language. At that time, DSGE.jl contained only the code required to specify, solve, and estimate such models using Bayesian methods. Now, we have extended the package to provide the additional code needed to produce economic forecasts, counterfactual simulations, and inference on unobservable variables, such as the natural rate of interest or the output gap. The old, pre-Julia version of the code, which was written in MATLAB and is posted here on Github, a public repository hosting service, also performed some of these functions, but not quite as fast.

Suggested Citation

  • Marco Del Negro & Marc Giannoni & Abhi Gupta & Pearl Li & Erica Moszkowski, 2017. "Forecasting with Julia," Liberty Street Economics 20170508, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednls:87192
    as

    Download full text from publisher

    File URL: https://libertystreeteconomics.newyorkfed.org/2017/05/forecasting-with-julia.html
    File Function: Full text
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    State Space Models; DSGE; Julia;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fednls:87192. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Gabriella Bucciarelli (email available below). General contact details of provider: https://edirc.repec.org/data/frbnyus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.