gecon-package: General Equilibrium Economic Modelling Language and Solution...

In gEcon: General Equilibrium Economic Modelling Language and Solution Framework (gEcon)

Description

Package for developing and solving dynamic (stochastic) and static general equilibrium models.

Details

gEcon is a framework for developing and solving large scale dynamic (stochastic) & static general equilibrium models. It consists of model description language and an interface with a set of solvers in R. It was developed at the Department for Strategic Analyses at the Chancellery of the Prime Minister of the Republic of Poland as a part of a project aiming at construction of large scale DSGE & CGE models of the Polish economy.

Publicly available toolboxes used in RBC/DSGE modelling require users to derive the first order conditions (FOCs) and linearisation equations by pen & paper (e.g. Uhlig's tool-kit) or at least require manual derivation of the FOCs (e.g. Dynare). Derivation of FOCs is also required by GAMS and GEMPACK - probably the two most popular frameworks used in CGE modelling. Owing to the development of an algorithm for automatic derivation of first order conditions and implementation of a comprehensive symbolic computations library, gEcon allows users to describe their models in terms of optimisation problems of agents. To authors' best knowledge there is no other publicly available framework for writing and solving DSGE & CGE models in this natural way. Writing models in terms of optimisation problems instead of the FOCs is far more natural to an economist, takes off the burden of tedious differentiation, and reduces the risk of making a mistake. gEcon allows users to focus on economic aspects of the model and makes it possible to design large-scale (100+ variables) models. To this end, gEcon provides template mechanism (similar to those found in CGE modelling packages), which allows to declare similar agents (differentiated by parameters only) in a single block. Additionally, gEcon can automatically produce a draft of LaTeX documentation for a model.

The model description language is simple and intuitive. Given optimisation problems, constraints and identities, computer derives the FOCs, steady-state equations, and linearisation matrices automatically. Numerical solvers can be then employed to determine the steady state and approximate equilibrium laws of motion around it.

Author(s)

Karol Podemski [e-mail] (since 10.2012),
Kaja Retkiewicz-Wijtiwiak [e-mail] (since 10.2012),
Grzegorz Klima [e-mail] (lead developer 10.2012-03.2018)

Maintainer: Karol Podemski [e-mail]

References

Cf. gEcon users' guide, which can be found at http://gecon.r-forge.r-project.org/.

Examples

# copy the example to the current working directory
file.copy(from = file.path(system.file("examples", package = "gEcon"),
          "rbc.gcn"), to = getwd())

# make and load the model
rbc <- make_model("rbc.gcn")

# solve the model
rbc <- steady_state(rbc)
rbc <- solve_pert(rbc)

# compute and print correlations
rbc <- set_shock_cov_mat(rbc, cov_matrix = matrix(0.01, 1, 1),
                         shock_order = "epsilon_Z")
rbc <- compute_model_stats(rbc, ref_var = "Y")
get_model_stats(rbc)

# compute and plot the IRFs
irf_rbc <- compute_irf(rbc)
plot_simulation(irf_rbc)
summary(rbc)

gEcon documentation built on May 2, 2019, 6:52 p.m.