The DSGE.jl package implements the New York Fed dynamic stochastic general equilibrium (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.
(We previously referred to our model as the "FRBNY DSGE Model.")
This Julia-language implementation mirrors the MATLAB code included in the Liberty Street Economics blog post The FRBNY DSGE Model Forecast.
Documentation for the most recent model version is available here. For the latest documentation on code, click on the docs|latest button above.
The New York Fed DSGE team is currently extending the code to solve and estimate heterogeneous agent models. Filtering and smoothing algorithms are available in the registered package StateSpaceRoutines.jl.
An implementation of Sequential Monte Carlo (SMC) sampling, used for the estimation of DSGE models, can be found in the registered package SMC.jl. The foundational AbstractModel type, from which the AbstractDSGEModel type derives, is defined in the registered package ModelConstructors.jl.
Further extensions of the DSGE model code may be released at the discretion of the New York Fed.
DSGE.jl is a registered Julia package in the General registry. To install it, open your Julia REPL, type ] to enter the package manager, and run
pkg> add DSGENote we do not test our code in Windows OS, so we cannot guarantee the code works properly in Windows.
DSGE.jl is currently compatible with Julia v1.0 and v1.1.
To use DSGE.jl with Julia v0.7, please check out tag 0.8.1. To do this, click on the drop-down menu that reads branch:master on the left-hand side of the page. Select tags, then v0.8.1. If you've already cloned the repo, you can simply run git checkout v0.8.1.
To use DSGE.jl with Julia v0.6, please check out tag 0.4.1.
In Windows OS, installing DSGE.jl in Julia v1.1 appears to trigger the error AssertionError: length(dirs) == 1 according to several users. Because we do not test the package in Windows OS, unfortunately we do not know the source of this error.
Copyright Federal Reserve Bank of New York. You may reproduce, use, modify, make derivative works of, and distribute and this code in whole or in part so long as you keep this notice in the documentation associated with any distributed works. Neither the name of the Federal Reserve Bank of New York (FRBNY) nor the names of any of the authors may be used to endorse or promote works derived from this code without prior written permission. Portions of the code attributed to third parties are subject to applicable third party licenses and rights. By your use of this code you accept this license and any applicable third party license.
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