Solution and estimation of Markov Switching Rational Expectations / DSGE Models
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README.md

Rationality In Switching Environments (RISE) Toolbox

Welcome to RISE!!! For any issue, suggestion or bug report, please send an email to junior.maih AT gmail.com

RISE is an object-oriented Matlab toolbox for solving and estimating nonlinear Regime-Switching Dynamic Stochastic General Equilibrium (RS-DSGE) models.

A new paper describing the problem and the solution approach in RISE can be found here. Other references in the field include various papers by Dan Waggoner and Tao Zha, which can be found here.

In RISE, the switching process and can be endogenous. RISE uses perturbation to approximate the nonlinear Regime-Switching DSGE (RS-DSGE) model and solves it using efficient algorithms.

Constant-parameter DSGE models are a special case. RISE also includes the solution and estimation of

Features of the toolbox

  • Symbolic, automatic and numerical derivatives

  • Time Series

  • Maximum Likelihood and Bayesian estimation

  • Derivative-free optimization algorithms

  • Forecasting and conditional forecasting

  • DSGE-VAR modeling

  • Integrated SVAR modeling with short, long and mixed restrictions

  • High Dimensional Model Representation and Monte Carlo Filtering

  • Reporting system

Installation

  1. Download the toolbox either as zip file or through github (recommended)
  2. add the toolbox path to Matlab and run rise_startup();

Documentation

  • This publicly available version of RISE is largely work in progress and there is a documentation (PDF, HTML, etc) but that too is work in progress.
  • RISE is very intuitive as you will quickly realize when you run the examples in RISE_toolbox\examples\
  • Should you want to report a bug, make a suggestion or need help, please send an email to junior.maih AT gmail.com

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