Optimal Switching Solver
A new
solver for optimal switching (regime switching) models that handles
multi-dimensional problems.
These functions supplement and extend the tools described in Section 11.4 of ACEF.
Documentation is included in the zip file.
ossolve
Global Optimization
Two
procedures for global optimization. One is an implementation of the Divided
Rectangles (DiRect) algorithm of Jones et al. This implemention is written as a
MEX file with a MATLAB interface and appears to be substantially faster than
other DiRect implementations available on the web. The second is a genetic
algorithm that was initially coded by Nick Kuminoff for a class he took with me
and subsequently tweaked a bit by me to speed it up.
globalopt
(updated 3/19/2007 to allow function handles to be passed to direct and fixed bug that could
cause assertion errors)
Non-linear Rational Expectations Solver
This new
solver improves on the solver described in Section 9.9 of ACEF.
The functions are included in the basic toolbox.
See: “A MATLAB Solver for Nonlinear Rational Expectations
Models”, Computational Economics, 26 (2005): 173-181.
Additional
documentation for resolve
Boundary
Value Solver
BVPSOLVE: A solver for boundary value problems
Coming
Soon
Copula Toolbox
A set of
functions for working with bivariate copula functions.
Simulated GMM Estimation Toolbox
A set of
functions for working estimating structural models using simulated generalized
method of moments (also known as indirect inference and efficient method of
moments).
For additional information or to report any problems, please contact:
Paul Fackler