Wouter J. den Haan - Software

ET (Exact Today) algorithm:

Solving models with heterogeneous agents:

Very simple projection methods program:

Parameterized Expectations Algorithms (PEA):

Dynare programs:
  • 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:

Business Cycle Statistics and their Standard Errors:

Software for specific papers:

Useful stuff from others:

Links to matlab tutorials

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