JBendge: An object-oriented system for solving, estimating and selecting nonlinear dynamic models

Viktor Winschel and Markus Krätzig

No 2008-034, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Abstract: We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general equilibrium (DSGE) models. The implemented solution methods for finding 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 operator to overcome the course of dimensionality. The operator is also useful for numerical integration and we use it for the integrals arising in rational expectations and in nonlinear state space filters. The estimation step is done by a parallel Metropolis-Hastings (MH) algorithm using a linear or nonlinear state space filters. Implemented are the Kalman, Extended Kalman, Particle, Smolyak Kalman, Smolyak Sum, and Smolyak Kalman Particle filters. The MH sampling step can be monitored and controlled interactively by sequence and statistics plots. The number of parallel threads can be adjusted to benefit from multiprocessor environments. JBendge is based on the framework JStatCom, which provides a standardized application 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)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/25276/1/57173135X.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:zbw:sfb649:sfb649dp2008-034

Access Statistics for this paper

More papers in SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().