DSGE.jl

The DSGE.jl package implements the New York Fed DSGE model and provides general code to estimate many user-specified DSGE models. The package is introduced in the Liberty Street Economics blog post The FRBNY DSGE Model Meets Julia.

This Julia-language implementation mirrors the MATLAB code included in the Liberty Street Economics blog post The FRBNY DSGE Model Forecast.

The New York Fed DSGE team is currently working on adding methods to solve nonlinear and heterogeneous agent DSGE models. Extensions of the DSGE model code may be released in the future at the discretion of the New York Fed.

Table of Contents

Acknowledgments

Developers of this package at the New York Fed include

Contributors to this package at QuantEcon include

The gensys and csminwel routines DSGE.gensys and DSGE.csminwel are based on routines originally copyright Chris Sims. The files are released here with permission of Chris Sims under the BSD-3 License.

The kalman_filter routine is loosely based on a version of the Kalman filter algorithm originally copyright Federal Reserve Bank of Atlanta and written by Iskander Karibzhanov. The files are released here with permission of the Federal Reserve Bank of Atlanta under the BSD-3 License.