DYNARE: A program for the simulation of rational expectation models
AbstractDYNARE: A program for the simulation of rational expectation models Michel Juillard (CEPREMAP and University Paris 8) DYNARE is a user oriented general program for the simulation of deterministic or stochastic models. For linear models, it implements a generalized Schur decomposition algorithm; for deterministic non--linear models, a Newton--type method and for stochastic non--linear models, a second order Taylor approximation algorithm. The user writes the model and the computational tasks to be accomplished in a usual modelling language and in a text file. A parser then translates it either in a GAUSS or in a MATLAB program. The algorithms are implemented in two libraries, one for GAUSS, one for MATLAB. In a deterministic setup, DYNARE can compute the anticipatory reaction and the inertial response of a model in the presence of one or several fully anticipated shocks, the response to unanticipated shocks, the convergence toward equilibrium or the transition between two equilibria. It is also possible to add constraints to the model such as a liquidity constraint. For stochastic models, DYNARE computes a second order Taylor approximation of decision rules. Doing so, it takes into account the non certainty equivalence of non--linear stochastic models. As it is only an approximation of rational expectations, it also provides some measure of the quality of the approximation. To our knowledge and to this day, DYNARE is the only general purpose simulation program permitting to do so. After a brief review of the algorithms, the paper presents a series of experiments that can be computed with DYNARE.
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2001 with number 213.
Date of creation: 01 Apr 2001
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rational expectations; simulations; computer program;
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- C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
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