ct_dsge/Linearization

This folder is part of the replication package for the paper: “Estimation of continuous-time linear DSGE models from discrete-time measurements” by B.J. Christensen, L. Neri, and J.C. Parra-Alvarez

Overview

The Linearization folder contains

1. AutoDiff/ – Folder containing the package for automatic differentiation used in the model solution
2. phact/ – Folder containing a toolbox for solving heterogeneous agent models as described in Ahn, SeHyoun, et al. “When Inequality Matters for Macro and Macro Matters for Inequality.” NBER Macroeconomics Annual 2017, volume 32. University of Chicago Press, 2017.

References

For further details, please refer to the full paper:
B.J. Christensen, L. Neri, and J.C. Parra-Alvarez, “Estimation of continuous-time linear DSGE models from discrete-time measurements” Journal of Econometrics, forthcoming