RiskAdjustedLinearizations.jl

This package provides a user-friendly API for efficiently calculating risk-adjusted linearizations of dynamic economic models. These linearizations are equivalent to first-order perturbations around the stochastic steady state and are solved by computing affine approximations.

License

This content is released under the MIT License.

Contents

• Risk-Adjusted Linearizations
• Theory
• Implementation as RiskAdjustedLinearization
• Helper Types
• Sparse Arrays and Jacobians
• Sparsity with $\Gamma_5$, $\Gamma_6$, $\Lambda$, and $\Sigma$
• Sparse Jacobians and Automatic Differentiation
• Numerical Algorithms
• solve!
• Relaxation
• Homotopy Continuation
• Blanchard-Kahn Conditions
• Exploiting Sparsity
• Docstrings
• Example
• Create a RiskAdjustedLinearization
• Solve using a Newton-type Numerical Algorithm
• Additional Examples
• Caching
• TwoDiffCache and ThreeDiffCache
• Automated Caching via RALF1, RALF2, RALF3, and RALF4 Wrappers
• Diagnostics
• Tips
• Deriving the conditional cumulant generating function
• Writing functions compatible with automatic differentiation