The DSGE.jl package implements the New York Fed 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.
For the latest documentation on the code, click on the docs|latest button above. Documentation for the most recent model version is available here.
The New York Fed DSGE team is currently working on extending the code to include
forecasts and other features. Ongoing work on implementing Sequential Monte
Carlo (SMC) sampling can be found on the smc branch. Further extensions of the
DSGE model code may be released in the future at the discretion of the New York
Fed.
DSGE.jl is a registered Julia package. To install it, open your Julia REPL and run
julia> Pkg.add("DSGE")To use DSGE.jl with Julia version 0.4, please check out tag
0.2.0. To do this, click on the drop-down menu that reads branch: master on the left-hand side of the page. Select tags, then
v0.2.0. If you've already cloned the repo, you can simply run
git checkout v0.2.0.