computation

this is my storage of materials related to computational methods in macroeconomics, which i used for the courses that i taught in the past or created just for fun. please do not send me email about the contents! i stopped maintaining these materials long time ago!

lecture notes (click [note] to downloand pdf file)

[note] dynamic programming.
[note] numerical methods: approximation of normal and ar(1).
[note] numerical methods: chebyshev regression.
[note] numerical methods: one-dimensional optimziation.
[note] numerical methods: numerical differentiation.
[note] solving neoclassical growth model: introduction.
[note] solving neoclassical growth model: value function iteration + discretization.
[note] solving neoclassical growth model: value function iteration + finite element method.
[note] solving neoclassical growth model: value function iteration + chebyshev regression.
[note] solving rbc model: linear-quadratic approximation.
[note] solving rbc model: blanchard-kahn.
[note] solving rbc model: undetermined coefficients.
[note] solving heterogeneous agent model: handling type distribution.
[note] solving heterogeneous agent model: aiyagari (qje1994).
[note] solving heterogeneous agent model: aiyagari (qje1994) with some extensions.
[note] solving heterogeneous agent model: krusell and smith (jpe1998).
[note: access restricted] solving heterogeneous agent model: krusell and smith (jpe1998) with labor supply decision.
[note: access restricted] solving heterogeneous agent model: krusell and smith (md1997) with two types of assets.
[note: access restricted] solving heterogeneous agent model: limited commitment.
[note: access restricted] solving models with sovereign defaults (arellano (aer2008)).
[note: access restricted] solving heterogeneous agent model: equilibrium bankruptcy.

codes [access restricted]

[download]: fortran 90 module for shape-preserving spline interpolation of schumaker (1983).
[download]: fortran 90 module for chebyshev polynomial interpolation.
[download]: fortran 90 module for monotone (and regular) cubic hermite interpolation.
[download]: fortran 90 module for approximating ar(1) process, developed by tauchen (1986).
[download]: fortran 90 module for approximating ar(1) process, developed by adda and cooper (2003).
[download]: fortran 90 code for solving stupid robinson crusoe problem. used as an example in class.
[download]: fortran 90 code for solving aiyagari (qje1994) model using discretization.
[download]: fortran 90 code for solving huggett (jme1996) model by linearly approximating optimal decision rules and solving euler equations. you also need this for piecewise-linear approximation, this for one-dimensional root-finding. this is the average life-cycle profile of earnings, this is the initial distribution of shocks, and this is the discretized ar(1) process for earnings shock.
[download]: fortran 90 code for solving equilibrium sovereign default model of arellano (wp2008). you also nees this file which contains discretized stochastic process for output shock.

awesome links on computational macro

victor rios-rull’s quantitative macroeconomics course is the original of my course on computational methods.
josep pijoan-mas is my good friend and an ubergeek. the website for his course on public policies contains a lof of goodies.
chris carroll has a lots of useful stuff like lecture notes and codes.
harald uhlig’s toolkit page contains cool tools for log-linearization.
tony smith teaches a course on computational methods. lot of useful stuff.
dean corbae has a lot of useful matlab codes on his webpage.
karen kopecky teaches a course on computational methods. lot of useful stuff.
irina telyukova is a great friend of mine and happens to be teaching computational macro as well.
burkhard maussner’s homepage has a link to the homepage of his book "dynamic general equilibrium modelling"

other goodies

vquad.m and reduce.m, which are the matlab codes that i translated from the gauss codes written by gary hansen.