EconPapers    
Economics at your fingertips  
 

JBendge: An Object-Oriented System for Solving, Estimating and Selecting Nonlinear Dynamic Models

Viktor Winschel and Markus Krätzig

SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649

Abstract: We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general equilibrium (DSGE) models. The imple- mented solution methods for nding the unknown policy function are the standard linearization around the deterministic steady state, and a function iterator using a multivariate global Chebyshev polynomial approximation with the Smolyak op- erator to overcome the course of dimensionality. The operator is also useful for numerical integration and we use it for the integrals arising in rational expecta- tions and in nonlinear state space lters. The estimation step is done by a parallel Metropolis-Hastings (MH) algorithm, using a linear or nonlinear lter. Implemented are the Kalman, Extended Kalman, Particle, Smolyak Kalman, Smolyak Sum, and Smolyak Kalman Particle lters. The MH sampling step can be interactively moni- tored and controlled by sequence and statistics plots. The number of parallel threads can be adjusted to bene t from multiprocessor environments. JBendge is based on the framework JStatCom, which provides a standardized ap- plication interface. All tasks are supported by an elaborate multi-threaded graphical user interface (GUI) with project management and data handling facilities.

Keywords: Dynamic Stochastic General Equilibrium (DSGE) Models; Bayesian Time Series Econometrics; Java; Software Development (search for similar items in EconPapers)
JEL-codes: C11 C13 C15 C32 C52 C63 C68 C87 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2008-04
New Economics Papers: this item is included in nep-cba, nep-cmp, nep-dge, nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2008-034.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hum:wpaper:sfb649dp2008-034

Access Statistics for this paper

More papers in SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649 Contact information at EDIRC.
Bibliographic data for series maintained by RDC-Team ( this e-mail address is bad, please contact ).

 
Page updated 2022-06-23
Handle: RePEc:hum:wpaper:sfb649dp2008-034