makoto nakajima’s homepage

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!

[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.

[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.

victor rios-rull’s quantitative macroeconomics course is the original of my course on computational methods.

homepage of ken judd’s course: "numerical methods in economics". lot of very useful materials.

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"

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