Expansion Suite
is an open source Python toolbox for macro-finance research. It solves the nonlinear DSGE model with recursive utility formulation motivated by robustness or risk concerns based on the small-noise expansion method.
Expansion Suite
is built on the Linear Quadratic framework proposed by Borovička and Hansen (2014). It follows the algorithm in Exploring Recursive Utility to approximate the model solution under uncertainty.
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QuantMFR website:
https://lphansen.github.io/QuantMFR/theory/quickguide_update.html
- Defines the linear-quadratic variable structure to facilitate operations in expansion solvers and elasticity calculation with
LinQuadVar
class.
- Integrated operation tools on
LinQuadVar
.
- Matrix and linear algebra operation functions facilitate the computation.
- Functions to compute numerical derivatives used in the expansion solver.
- Functions to implement first and second order expansion, approximate the continuation values, change of probability measure, and iteration schemes.
- Functions to compute shock elasticities.