Saturday, October 24, 2009

Dynare

Dynare is an add-on to MATLAB or Octave that permits the solving and analysis of general equilibrium models in an extremely simple fashion - it takes as inputs the first-order conditions and spits out impulse-response functions, correlations and autocorrelations, business cycle volatilities, etc. I use it often as a shortcut instead of having to code the value function iteration/interpolation myself, but it doesn't really let one off the hook from the economics, because one still needs to solve for the Euler equation, the labour-leisure tradeoff, etc.

Just trying to advertise, it should be more well-known than it is.

2 comments:

Gabriel said...

Yes, it's really good, and it will do deterministic models too, with fully expected changes, like one would do in fiscal analysis.

Also, it deals with nonstationarity.

I just don't like the fact that its BVAR features are not all that transparent.

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