This package implements Lopez et al. (2018) “Risk-Adjusted Linearizations of Dynamic Equilibrium Models” in Julia. The original companion code for the paper implements the method using MATLAB’s Symbolic Math Toolbox. RiskAdjustedLinearizations.jl takes advantage of Julia’s speed and and flexibility so that the method can be used for solving and estimating large-scale Dynamic Stochatic General Equilibrium (DSGE) models. Initial timing tests (see examples/wachter_disaster_risk/example_wachter.jl) indicate that this package is two orders of magnitude faster than the MATLAB implementation provided by Lopez et al. (2018).
pkg> add RiskAdjustedLinearizations
The package is compatiable with Julia
1.x and is tested in Linux, macOS, and Windows.