Wouter J. den Haan - Software |
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ET (Exact Today) algorithm:
- Programs to solve the model of Coeurdacier, Rey, and Winant (joint with Michal Kobielarz and Pontus Rendahl)
- Programs to solve the neoclassical growth model (joint with Michal Kobielarz and Pontus Rendahl)
Solving models with heterogeneous agents:
- Solution method using explicit aggregation (joint with Pontus Rendahl)
- Solution method using parameterized cross-sectional distributions (joint with Yann Algan and Olivier Allais)
- Information and programs for JEDC comparison project
Very simple projection methods program:
- Solving the standard neoclassical growth model with a projection method and Gaussian quadrature
Parameterized Expectations Algorithms (PEA):
- Fortran,Gauss, and Matlab programs to solve growth model with "Projections" PEA
- Fortran program to solve growth model with "Simulations" PEA
Dynare programs:
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Set of
Dynare programs
- Simulating using policy rules generated with Dynare
- change parameter values in the Dynare or Dynare++ file source file from Matlab program
- programs to run multiple Dynare and Dynare++ programs in loops
- calculate IRFs at other points than steady state
- Accuracy test
VARHAC: A Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator:
- Fortan, Gauss, and Rats Programs
- Matlab program written by Craig Burnside
Business Cycle Statistics and their Standard Errors:
Software for specific papers:
- Matlab programs to solve the model of Deflationary Spirals Paper (with Pontus Rendahl and Markus Riegler)
- Programs to solve the model of Coeurdacier, Rey, and Winant discussed in the main ET paper (joint with Michal Kobielarz and Pontus Rendahl)
- Matlab programs for Nonlinear and stable perturbation-based approximations
- Dynare program for the 2009 JME "Anticipated Growth" paper
- Fortran program for the 2007 RED "Shocks and Institutions" paper
- Fortran programs for the 2003 JME "Liquidity Flows" paper
- Fortran programs for the 2000 AER "Job Destruction and Propagation" paper
- Rats programs for 2000 JME "comovement" paper
- Fortran programs for the 1997 MD "Heterogeneity" paper
- Fortran programs for the 1997 JBES "Heterogeneity" paper
Useful stuff from others:
Links to matlab tutorials
- simple Matlab program to get started
- simple Matlab program that calls Dynare
- On line Matlab tutorial
- Very short Matlab primer (pdf file)
- Matlab primer
- Matlab primer
Tips on how to program
Links to useful code
- Code to accompany the classic textbook on numerical methods by Ken Judd can be found here
- A useful Matlab toolbox with for many basic problems (integration, approximation) and examples for bigger problems that accompanies the book by Miranda & Fackler can be found here
- Harald Uhlig's toolbox to solve DSGE models using linearization techniques can be found here
- The program to solve and estimate DSGE models using perturbation methods can be found here
Links to useful reading material
- Teaching notes by Jesus Fernandez-Villaverde and Juan Rubio-Ramirez on many numerical topics such as solution methods, Bayesian estimation and filtering can be found here
Textbooks on numerical methods
- Ken Judd: Numerical methods in Economics
- Mario Miranda and Paul Fackler: Applied Computational Economics and Finance
- Alfonso Novales, Esther Fernandez, and Jesus Ruiz: Economic Growth - Theory and numerical solution methods
- Burkhard Heer and Alfred Maussner: Dynamic General Equilibrium Modeling
