# Quantitative Macroeconomics & Real Business Cycles

# QM&RBC Codes

Postal: P.O. Box 442, St. Louis, MO 63166

Fax: (314)444-8753

Web page: http://dge.repec.org/

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Fax: (314)444-8753

Web page: http://dge.repec.org/

More information through EDIRC

**For corrections or technical questions regarding this series, please contact (Christian Zimmermann)**

**Series handle:**repec:dge:qmrbcd

**Citations RSS feed:**at CitEc

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- By downloads (last 12 months)

**Undated material is presented at the end, although it may be more recent than other items**

### 2016

**Envelope Condition Method (ECM) in comparison with other solution methods for the neoclassical growth model with inelastic labor supply in "Envelope Condition Method with an Application to Default Risk Models"***by*Cristina Arelano & Lilia Maliar & Serguei Maliar & Viktor Tsyrennikov

### 2015

**EDS code for new Keynesian model with ZLB in "Merging Simulation and Projection Aproaches to Solve High-Dimensional Problems with an Application to a New Keynesian model"***by*Lilia Maliar & Serguei Maliar**Smolyak code for "Smolyak Method for Solving Dynamic Economic Models: Lagrange Interpolation, Anisotropic Grid and Adaptive Domain"***by*Kenneth L. Judd & Lilia Maliar & Serguei Maliar & Rafael Valero

### 2014

**Dynare add-on for "Risk-Sensitive Linear Approximations"***by*Alexander Meyer-Gohde

### 2013

**Envelope Condition Method and Endogenous Grid Method (EGM) for the neoclassical growth model with elastic labor supply in "Envelope Condition Method versus Endogenous Grid Method for Solving Dynamic Programming Problems"***by*Lilia Maliar & Serguei Maliar**Matlab code for "Numerical solution of dynamic equilibrium models under Poisson uncertainty"***by*Olaf Posch & Timo Trimborn**Matlab code for "Solution of continuous-time dynamic models with inequality constraints"***by*Timo Trimborn**Dynare add-on for "Decomposing Risk in Dynamic Stochastic General Equilibrium"***by*Hong Lan & Alexander Meyer-Gohde**Dynare add-on for "Pruning in Perturbation DSGE Models"***by*Hong Lan & Alexander Meyer-Gohde

### 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