James Murray

Programming

C Toolbox for Solving, Estimating, and Analyzing Dynamic Stochastic General Equilibrium Models

Copyright 2008. James Murray.
Free Software. Licensed under Version 3 of the GNU Public License.

I wrote the following programs for my research in estimating dynamic macroeconomic models with learning. Some of my research also deals with estimating regime switching models. Running programs that estimate such models can take a prohibitively long time in MatLab or Octave, so I wrote this toolbox in C to be able solve and estimate such models in much less time.

These programs complement the GNU Scientific Library (GSL) of numerical methods and linear algebra programs for C/C++. Many of the programs in this toolbox also depend on the Fortran Linear Algebra Package (LAPACK). The plotting capabilities further require that gnuplot is installed. Compiling these programs requires a C compiler such as gcc. All this software is free and available for Unix/Linux operating systems.

If you have any questions about this software, please contact me, James Murray, at murray.jame@uwlax.edu.

Utilities Package
Download: utils.tar.gz

Contains linear algrebra, numerical differentiation, statistics, and graphing utilities that complement GSL that are useful for analyzing DSGE models.

Economics Programs Package
Download: econprogs.tar.gz

Requires the Utilities Package. Contains programs to solve rational expectations models, solve models with least-squares learning, minimize functions, perform Kalman filtering with possibly time-varying coefficients, perform Kalman smoothing with possibly time-varying coefficients, perform Kim (1989) filtering for regime-dependent state space models, perform Kim smoothing, estimate models by maximum likelihood, and generate impulse response functions with system of state equations with possibly time-varying coefficients.