ZICE (2014,2015)

Zurich Initiative for Computational Economics
Zurich Center for Computational Financial Economics

EGDST software
Implements EGM with discrete choices (D) and additional state variables (ST) without taste shocks using the combination of Matlab and C. Matlab code of the examples used in the lecture
##### Solution to a stochastic lifecycle model of consumption and savings (Deaton) by EGM in 12 Matlab lines
[quadp quadw]=quadpoints(EXPN,0,1);
quadstnorm=norminv(quadp,0,1);
sgrid=linspace(0,MMAX,NM); 
policy{TBAR}.w=[0 MMAX];
policy{TBAR}.c=[0 MMAX];
for it=TBAR-1:-1:1
    w1=Y+exp(quadstnorm*SIGMA)*(1+R)*sgrid;
    c1=interp1(policy{it+1}.w,policy{it+1}.c,w1,'linear','extrap');
    rhs=quadw'*(1./c1);
    policy{it}.c=[0 1./(DF*(1+R)*rhs)];
    policy{it}.w=[0 sgrid+policy{it}.c(2:end)];
end


Dancing Equilibria: Changes in the equilibrium set corresponding to changes in various parameters of the model


St.Petersburg State University, Graduate School of Management (2009, 2010)