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 code can be accessed by clicking on the
docs|latest button above. For documentation about the most recent model version, read this
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
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