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.
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.
(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
BVPSOLVE: A solver for boundary value problems
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: