Quantitative Macroeconomics & Real Business Cycles
QM&RBC Codes
Contact information of Quantitative Macroeconomics & Real Business Cycles:
Postal: P.O. Box 442, St. Louis, MO 63166
Fax: (314)444-8753
Web page: http://dge.repec.org/
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For corrections or technical questions regarding this series, please contact
(Christian Zimmermann)
Series handle: repec:dge:qmrbcd
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Undated material is presented at the end, although it may be more recent than other items
2012
- Mathematica code for solving and simulating RBC models
by Diallo Ibrahima Amadou
2011
- Dynare add-on for "Solving DSGE Models with a Nonlinear Moving Average"
by Hong Lan & Alexander Meyer-Gohde - Matlab code for "Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models"
by L. Kenneth Judd & Lilia Maliar & Serguei Maliar - Dynare Exercise
by Lawrence Christiano - Example code for projection method
by Jesus Fernandez-Villaverde - Example code for perturbation method
by Jesus Fernandez-Villaverde - Simul
by Rodolphe Buda - Code for "Computing Dynamic Heterogeneous-Agent Economies: Tracking the Distribution"
by Grey Gordon - Code for "A generalized endogenous grid method for non-concave problems"
by Giulio Fella - CoRRAM: computing recursive representative agent models
by Alfred Maussner - Maquette
by Rodolphe Buda
2010
- Matlab code for one-sided HP-filters
by Alexander Meyer-Gohde
2009
- Replication programs for paper "The method of endogenous gridpoints with occasionally binding constraints among endogenous variables"
by Thomas Hintermaier & Winfried Koeniger - Matlab code for "Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm"
by Lilia Maliar & Fernando Valli & Seguei Maliar
2008
- Multidimensional Transitional Dynamics: A Simple Numerical Procedure (Matlab)
by Timo Trimborn & Karl-Joseph Koch & Thomas Steger - Multidimensional Transitional Dynamics: A Simple Numerical Procedure (Mathematica)
by Timo Trimborn & Karl-Joseph Koch & Thomas Steger
2007
- Excel files and MATLAB programs for growth in monetary economies
by Alfonso Novales & Esther Fernandez & Jesus Ruiz - Excel files and MATLAB programs for endogenous growth models
by Alfonso Novales & Esther Fernandez & Jesus Ruiz - Excel files and MATLAB programs for numerical solution methods
by Alfonso Novales & Esther Fernandez & Jesus Ruiz - Excel files and MATLAB programs for optimal growth
by Alfonso Novales & Esther Fernandez & Jesus Ruiz - Excel files and MATLAB programs for neoclassical growth model
by Alfonso Novales & Esther Fernandez & Jesus Ruiz - Excel files for dynamics responses and simple simulations
by Alfonso Novales & Esther Fernandez & Jesus Ruiz - GAUSS program for 'Steady state wealth and saving rates based on ECM-type consumption function'
by Gabor Vadas - Matlab Code for Solving Linear Rational Expectation Models with Lagged Expectations Quickly and Easily
by Alexander Meyer-Gohde - Matlab code to replicate the Beaudry-Portier news shock model
by Kengo Nutahara - GAUSS code for the Uzawa-Lucas Model
by Cheuk-Yin Ho
2006
- HP-Filter DLL executable
by Kurt Annen - HP-Filter Excel Add-In
by Kurt Annen - Expectation Shock Simulation with DYNARE
by Ippei Fujiwara & Heedon Kang - Business cycle extraction based on constrained multivariate HP filter
by Gabor Vadas - Mathematica Notebook for the HP-Filter
by William Polley - LREM SOLVE: Matlab Solver for Linear Rational Expectation Models
by Pawel Kowal - Fortran Code For Implementing the Particle Filter
by David DeJong & Chetan Dave - Gauss Code For Implementing the Particle Filter
by David DeJong & Chetan Dave - Solve Stochastic Optimal Growth Model Given Delta-Rho=1 (GAUSS)
by David DeJong & Chetan Dave - Solve Stochastic Optimal Growth Model Using Log-Linearization (GAUSS)
by David DeJong & Chetan Dave - Solve Stochastic Optimal Growth Model Using Orthogonal Collocation, Log-Normal Process for a (GAUSS)
by David DeJong & Chetan Dave - Solve Stochastic Optimal Growth Model Using Orthogonal Collocation, Markov Process for a (GAUSS)
by David DeJong & Chetan Dave - Solve Deterministic Optimal Growth Model Using Projection Algorithm (GAUSS)
by David DeJong & Chetan Dave
2005
- Matlab code for Hansen-Imrohoroglu (1992) JPE article
by Fabio Kanczuk - Code for "The Japanese Saving Rate"
by Kaiji Chen & Ayse Imrohoroglu & Selahattin Imrohoroglu - Matlab for "Parameterized Expectations Algorithm: How to Solve for Labor Easily"
by Lilia Maliar & Serguei Maliar - Matlab code for "Solving Nonlinear Dynamic Stochastic Models: An Algorithm Computing Value Function by Simulations"
by Lilia Maliar & Serguei Maliar - Tools Useful to Solve Dynamic General Equilibrium Models (GAUSS)
by Alfred Maussner - Projection Methods (GAUSS)
by Alfred Maussner - Parametrized Expectations (GAUSS)
by Alfred Maussner - Linear Quadratic and Linear Approximation Methods (GAUSS)
by Alfred Maussner - Solving the Ramsey model (GAUSS)
by Alfred Maussner - Band Pass Filter code (Perl)
by Christian Zimmermann - Band-Pass Filter (web interface)
by Christian Zimmermann - HP-Filter code (Perl)
by Christian Zimmermann - HP-Filter (web interface)
by Christian Zimmermann
2004
- HP-filter for Java
by Kurt Annen - Matlab functions for HP-filter
by Kurt Annen - Band-Pass Filter Excel Add-in
by Kurt Annen - Overlapping Generations Models (GAUSS)
by Burkhard Heer - Code for "Solving Rational Expectations Models Using Excel"
by Holger Strulik - Code for "A Simple and Intuitive Method to Solve Small Rational Expectation Models"
by Martin Brunner & Holger Strulik - SimulEditor: Java code to create Matlab code for Uhlig toolkit
by Kolver Hernandez - Asset prices in real business cycle models rbcfull.m (which calls rbcfull_go.m file and the rbcfull_sim.m file). This program uses Harald Uhlig's Toolkit
by Matteo Iacoviello - Sticky information model
by Matteo Iacoviello - Dynamic new-Keynesian model with lags
by Matteo Iacoviello - Full dynamic new-Keynesian model
by Matteo Iacoviello - Reduced form dynamic new-Keynesian model
by Matteo Iacoviello - Credit cycle model
by Matteo Iacoviello - Model of interaction between monetary and fiscal policy
by Matteo Iacoviello - Optimal interest rate rule model
by Matteo Iacoviello - Cash in advance model
by Matteo Iacoviello - Sidrauski money in utility function model
by Matteo Iacoviello
2003
- Code for "Unemployment Insurance and Capital Accumulation"
by Eric Young - Matlab codes for various monetary models
by Carl Walsh - Parametrized Expectations (Fortran)
by Alfred Maussner - Value Function Iteration
by S. Boragan Aruoba & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez - Perturbation (2nd and 5th order)
by S. Boragan Aruoba & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez - Chebyshev Polynomials
by S. Boragan Aruoba & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez - Finite Elements Method
by S. Boragan Aruoba & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez - Linear and Log-Linear Approximation
by S. Boragan Aruoba & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez - Matlab code for Sbordone's estimation for a sticky price model
by Ryo Kato - Matlab code for the Phelan-Trejos model
by Ryo Kato - Matlab code for Kiyotaki-Moore credit cycles
by Ryo Kato - Matlab code for a standard New IS-LM model with interest rate shocks
by Ryo Kato - Mathematica Notebook for Some Results on the Solution of the Neoclassical Growth Model
by Juan F. Rubio-Ramirez - Matlab code for Solving a Neoclassical Growh Model with a Parametrized Expectations Algorithm and Moving Bounds
by Lilia Maliar & Serguei Maliar - Matlab code for Solving Dynamic General Equilibrium Models Using a Second-Order Approximation to the Policy Function
by Stephanie Schmitt-Grohe & Martin Uribe - RATS code for Macroeconomic Expectations Of Households And Professional Forecasters
by Christopher Carroll
2002
- Code for "Approximate Aggregation"
by Eric Young - Solving the Ramsey Model (Fortran)
by Alfred Maussner - Matlab code for a sticky wage/price model
by Ryo Kato & Takayuki Tsuruga - Matlab code for the Carlstrom-Fuerst AER (1997) model
by Ryo Kato - Matlab code for a standard RBC model
by Ryo Kato - Code for "Solution of Perfect Foresight Sattlepoint Problems: A Simple Method and Applications"
by Martin Brunner & Holger Strulik - Auerbach-Kotlikoff Model
by Alan Auerbach & Laurence Kotlikoff - Matlab codes for escape dynamics
by Andrea Gerali & Francesco Lippi - Matlab code for Public saving and policy coordination in aging economies
by Martin Floden - Matlab code for Technology Shocks in the New Keynesian Model
by Peter Ireland - Solution of a system of linear difference equations (FORTRAN90)
by Paul Klein
2001
- Fortran code for Hansen-Imrohoroglu (1992) JPE article
by Aysegul Sahin - Software for RE Analysis
by Bennett McCallum - Matlab code for the McCallum/Nelson model
by Ryo Kato - GAUSS code for the HP-filter reformulated as a constrained minimization problem
by Albert Marcet & Morten Ravn - Gauss programs for On Measuring the Welfare Costs of Business Cycles
by Christopher Otrok - Matlab code for On the Fiscal Implications of Twin Crises
by Craig Burnside & Martin Eichenbaum & Sergio Rebelo - FORTRAN code for Shocks and Institutions
by Wouter Denhaan - Matlab code for The Labor-Supply Elasticity and Borrowing Constraints: Why Estimates are Biased
by David Domeij & Martin Floden - Matlab code for Closing Small Open Economy Models
by Stephanie Schmitt-Grohe & Martin Uribe - Matlab code for "Endogenous Money or Sticky Prices?"
by Peter Ireland - Mathematica code for Precautionary Saving and the Marginal Propensity to Consume out of Permanent Income
by Christopher D. Carroll - Mathematica code for Death to the Log-Linearized Consumption Euler Equation!
by Christopher D. Carroll - Codes for A Theory of the Consumption Function, With and Without Liquidity Constraints
by Christopher D. Carroll - Matlab code for the robustness in forward looking models, oligopoly example
by Thomas Sargent & Stijn Van Nieuwerburgh - Matlab Code for Solving Linear Rational Expectations Models
by Christopher Sims
2000
- Matlab code for Real Business Cycle Models: Linear Approximation and GMM Estimation
by Craig Burnside - MATLAB Comovement Programs
by Steve Sumner - Matlab code for Money's Role in the Monetary Business Cycle
by Peter Ireland - Mathematica code for 'Saving and Growth with Habit Formation' and 'Comparison Utility in a Growth Model'
by Christopher D. Carroll & Jody Overland & David N. Weil - STATA code for Portfolios of the Rich
by Christopher D. Carroll - Mathematica code for Requiem for the Representative Consumer?
by Christopher D. Carroll - Matlab code for policy iteration algorithm
by Thomas Sargent - Solution of a system of linear difference equations (Matlab)
by Paul Klein - Solution of a system of linear difference equations (GAUSS)
by Paul Klein - Matlab Code for Second Order Accurate Solution of Discrete Time Dynamic Equilibrium Models
by Christopher Sims
1999
- Matlab code for Discrete State-Space Methods for the Study of Dynamic Economies
by Craig Burnside - Matlab code for A Method for Decomposing Time Series into Trend and Cycle Components
by Julio Rotemberg - Projections Parameterized Expectations Algorithms (Fortran)
by Christian Haefke - FORTRAN code for Liquidity Flows and Fragility of Business Enterprises
by Wouter Denhaan & Garey Ramey & Joel Watson - Mathematica code for Solving Representative Agent Dynamic Stochastic Optimization Problems
by Christopher D. Carroll - Mathematica code for Solving Microeconomic Dynamic Stochastic Optimization Problems
by Christopher D. Carroll - Matlab code for A Method for Taking Models to the Data
by Peter Ireland - Matlab code for Neal's model of career choice
by Thomas Sargent - Matlab code for the Bewley model with production
by Lars Ljungqvist & Thomas Sargent - Matlab code for Hopenhayn-Nicolini's optimal unemployment insurance model
by Lars Ljungqvist & Thomas Sargent - GAUSS codes for solving linear expectational difference equations
by John Jones - Matlab Optimization Software
by Christopher Sims
1998
- Computing Models of Social Security
by Ayse Imrohoroglu & Selahattin Imrohoroglu & Douglas H. Joines - Optimal Fiscal Policy in a Linear Stochastic Economy
by Thomas J. Sargent & Francois R. Velde - Finite-Difference Methods for Continuous-Time Dynamic Programming
by Graham V. Candler - The Parameterized Expectations Approach: Some Practical Issues
by Albert Marcet & Guido Lorenzoni - Application of Weighted Residual Methods to Dynamic Economic Models, Spectral Methods
by Ellen McGrattan - Application of Weighted Residual Methods to Dynamic Economic Models, Finite Element Methods
by Ellen McGrattan - Discrete State-Space Methods for the Study of Dynamic Economies
by Craig Burnside - Solving Non-linear Rational Expectations Models By Eigenvalue-Eigenvector Decompositions
by Alfonso Novales & Emilio Dominguez & Javier J. Perez & Jesus Ruiz - A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily
by Harald Uhlig - Value Function and Optimal Decision Rules of a Linear-quadratic Approximation
by Jorge Duran - Projections Parameterized Expectations Algorithms (Matlab)
by Christian Haefke - Projections Parameterized Expectations Algorithms (Gauss)
by Christian Haefke - Matlab code for Does the Time-Consistency Problem Explain the Behavior of Inflation in the United States?
by Peter Ireland
1997
- GAUSS and Matlab codes for Multivariate Linear Rational Expectations Models: Characterization of the Nature of the Solutions and Their Fully Recursive Computation
by Michael Binder & M. Hashem Pesaran - GAUSS and Matlab codes for Solution of Finite-Horizon Multivariate Linear Rational Expectations Models and Sparse Linear Systems
by Michael Binder & M. Hashem Pesaran - FORTRAN code for Job Destruction and Propagation of Shocks
by Wouter Denhaan & Garey Ramey & Joel Watson - FORTRAN code for Solving Dynamic Models with Aggregate Shocks and Heterogeneous Agents
by Wouter Denhaan - Mathematica code for Unemployment Expectations, Jumping (S,s) Triggers, and Household Balance Sheets
by Christopher D. Carroll & Wendy Dunn
1996
- VARHAC Covariance Matrix Estimator (RATS)
by Wouter Denhaan & Andrew T. Levin - VARHAC Covariance Matrix Estimator (GAUSS)
by Wouter Denhaan & Andrew T. Levin - VARHAC Covariance Matrix Estimator (FORTRAN)
by Wouter Denhaan & Andrew T. Levin - FORTRAN code for Heterogeinity, Aggregate Uncertainty and the Short-Term Interest Rate
by Wouter Denhaan
1995
- RATS code for Business Cycles Statistics and their Standard Errors
by Wouter Denhaan & Andrew T. Levin - Matlab code for robustifying Muth Filter
by Lars Peter Hansen & Thomas Sargent - Matlab code for robust Muth decision filter
by Lars Peter Hansen & Thomas Sargent - Matlab code for ordered real generalized Schur decomposition
by Evan Anderson
1994
- GAUSS code for solving for the decision rules using a Ricatti Equation approach
by Morten Ravn - GAUSS and Matlab codes for Multivariate Rational Expectations Models and Macroeconometric Modelling: A Review and Some New Results
by Michael Binder & M. Hashem Pesaran - RATS code for Does Consumer Sentiment Forecast Household Spending? If So, Why?
by Christopher D. Carroll & Jeffery C. Fuhrer & David W. Wilcox
1992
- SoWhat for Windows 1.6
by Holger Strulik - Web interface for "Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?"
by David Backus & Patrick Kehoe & Finn E. Kydland - DOS executable for "Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?"
by David Backus & Patrick Kehoe & Finn E. Kydland
1990
- FORTRAN code for Simulation Parameterized Expecations Algorithm
by Wouter Denhaan & Albert Marcet
1989
- GAUSS code for the Hodrick-Prescott filter
by Ken Matheny & Simon van Norden & Robert Vigfusson
1982
- Web interface for "Time to Build and Aggregate Fluctuations"
by Finn E. Kydland & Edward C. Prescott - Executable program for "Time to Build and Aggregate Fluctuations"
by Finn E. Kydland & Edward C. Prescott - FORTRAN code for the Hodrick-Prescott filter
by Edward C. Prescott
Undated
- Projection Methods (Fortran)
by Alfred Maussner - Dynamics of the Distribution Function in Heterogeneous-Agent Models (GAUSS)
by Burkhard Heer - A Heterogenous-Agent Extension of the Ramsey Model (GAUSS)
by Burkhard Heer - Matlab code for a standard New IS-LM model with money shocks
by Ryo Kato & Shinichi Nishiyama - GAUSS code for Mehra-Prescott
by Morten Ravn - GAUSS code for Backus-Kehoe-Kydland
by Morten Ravn - King-Plosser-Rebelo GAUSS programmes
by Morten Ravn - Alternate GAUSS program for the Hodrick-Prescott Filter
by Morten Ravn - GAUSS program for Hodrick-Prescott filter
by Morten Ravn - Matlab code for robust Ramsey tax policies
by Thomas Sargent - Matlab code for the spectrum of a stochastic process
by Thomas Sargent - Matlab code for limit of a Nash linear quadratic two-player dynamic game
by Thomas Sargent - Matlab code for a Laffer curve equilibrium
by Thomas Sargent - Matlab code for Nash feedback equilibrium of a linear quadratic dynamic game
by Thomas Sargent - Matlab code for Jovanovic's matching model
by Thomas Sargent - Matlab code for the frequency response of a digital filter
by Thomas Sargent - Matlab code for the solution to Riccati matrix difference equations associated with the Kalman filter
by Thomas Sargent - Matlab code for the Riccati solution to linear quadratic model
by Thomas Sargent - Matlab code for the Kalman filter
by Thomas Sargent - Hansen-Janagathan bounds computation
by Lars Ljungqvist & Thomas Sargent - Johansen-Juselius procedure of cointegration analysis
by Christian Dreger - GAUSS code for the Imrohoroglu (1989) model without aggregate uncertainty
by Gary D. Hansen - GAUSS code for an overlapping generations model with inelastic labor supply
by Gary D. Hansen - GAUSS code for a basic model with money, cash-in-advance constraint
by Gary D. Hansen - GAUSS code for the basic Hansen (1985) model
by Gary D. Hansen - GAUSS code useful for many RBC models
by Gary D. Hansen - MATLAB code for the Hodrick-Prescott filter
by Ivailo Izvorski