uzbekdev1/dsge.jl

Solve and estimate Dynamic Stochastic General Equilibrium models (including the New York Fed DSGE)

New York Fed DSGE Model (Version 1002)

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

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.

Installation

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 DSGE

If you use any code that loads data (e.g. the example script run_default.jl and make_packet.jl), then you need make sure you have a FRED API key by following these instructions for the FredData.jl package.

If you are using Windows OS and you encounter the error AssertionError: length(dirs) == 1, please see this issue. Additionally, please do not run the plot.jl test if you are using Windows OS because the generated output will violate the default filename length restriction on Windows. If you want to run this test, then you need to enable long paths.

Note we do not test our code in Windows OS, so we cannot guarantee the code works properly in Windows.

Versioning

DSGE.jl is currently compatible with Julia v1.x (as of v1.1.6).

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:main 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.

Precompilation

The DSGE.jl package is not precompiled by default because when running code in parallel, we want to re-compile the copy of DSGE.jl on each processor to guarantee the right version of the code is being used. If users do not anticipate using parallelism, then users ought to change the first line of src/DSGE.jl from

isdefined(Base, :__precompile__) && __precompile__(false)

to

isdefined(Base, :__precompile__) && __precompile__(true)

Disclaimer

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.

THIS CODE IS PROVIDED ON AN "AS IS" BASIS, WITHOUT ANY WARRANTIES OR CONDITIONS OF ANY KIND, EITHER EXPRESS OR IMPLIED, INCLUDING WITHOUT LIMITATION ANY WARRANTIES OR CONDITIONS OF TITLE, NON-INFRINGEMENT, MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE, EXCEPT TO THE EXTENT THAT THESE DISCLAIMERS ARE HELD TO BE LEGALLY INVALID. FRBNY IS NOT, UNDER ANY CIRCUMSTANCES, LIABLE TO YOU FOR DAMAGES OF ANY KIND ARISING OUT OF OR IN CONNECTION WITH USE OF OR INABILITY TO USE THE CODE, INCLUDING, BUT NOT LIMITED TO DIRECT, INDIRECT, INCIDENTAL, CONSEQUENTIAL, PUNITIVE, SPECIAL OR EXEMPLARY DAMAGES, WHETHER BASED ON BREACH OF CONTRACT, BREACH OF WARRANTY, TORT OR OTHER LEGAL OR EQUITABLE THEORY, EVEN IF FRBNY HAS BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES OR LOSS AND REGARDLESS OF WHETHER SUCH DAMAGES OR LOSS IS FORESEEABLE.