General equilibrium economic modelling language and solution framework
gEcon is a framework for developing and solving large scale dynamic (stochastic) & static general equilibrium models. It consists of model description language and an interface with a set of solvers in R.
Publicly available toolboxes used in RBC/DSGE modelling require users to derive the first order conditions (FOCs) and linearisation equations by pen & paper (e.g. Uhlig’s tool-kit) or at least require manual derivation of the FOCs (e.g. Dynare). Derivation of FOCs is also required by GAMS and GEMPACK — probably the two most popular frameworks used in CGE modelling. Owing to the development of an algorithm for automatic derivation of first order conditions and implementation of a comprehensive symbolic library, gEcon allows users to describe their models in terms of optimisation problems of agents. To authors' best knowledge there is no other publicly available framework for writing and solving DSGE & CGE models in this natural way. Writing models in terms of optimisation problems instead of the FOCs is far more natural to an economist, takes off the burden of tedious differentiation, and reduces the risk of making a mistake. gEcon allows users to focus on economic aspects of the model and makes it possible to design large-scale (100+ variables) models. To this end, gEcon provides template mechanism (similar to those found in CGE modelling packages), which allows to declare similar agents (differentiated by parameters only) in a single block. Additionally, gEcon can automatically produce a draft of LaTeX documentation for a model.
The model description language is simple and intuitive. Given optimisation problems, constraints and identities, computer derives the FOCs, steady state equations, and linearisation matrices automatically. Numerical solvers can be then employed to determine the steady state and approximate equilibrium laws of motion around it.
gEcon was initially developed at the Department for Strategic Analyses at the Chancellery of the Prime Minister of the Republic of Poland. As of March 1, 2015 gEcon is no longer developed and maintained at the Chancellery of the Prime Minister of the Republic of Poland, but it is still maintained and developed by its original authors.
About current release
gEcon 0.9.1 was released on May 19, 2015. This is a patched 0.9.0 version, which introduced the so-called references allowing users to formulate problems constrained by solution to other agents’ problems (eg. Nash bargaining, optimal policy).
Working paper Smets-Wouters '03 model revisited — an implementation in gEcon is now available on-line, see the documentation page.
Plans for development
An add-on package simplifying calibration of CGE models using SAM matrices will be released by the end of June 2015.
An add-on package allowing for Bayesian estimation of models will be released by the end of June 2015.
Development teamgEcon is developed by: Grzegorz Klima, Karol Podemski and Kaja Retkiewicz-Wijtiwiak.
Please send bugs, comments, suggestions to: gklima<AT>users<DOT>sourceforge<DOT>net.