Value Function Iteration (VFI) Toolkit for Matlab

A Matlab Toolkit for Macroeconomic Models using Value Function Iteration
1.2K Downloads
Updated 8 Jul 2024
A Matlab Toolkit for Macroeconomic Models using Value Function Iteration. Automatically parallelizes on CPUs and GPU. Includes commands for simulating time series and stationary distributions, and on evaluating moments of these.
For more information, including examples and documentation, see vfitoolkit.com

Cite As

Robert Kirkby (2024). Value Function Iteration (VFI) Toolkit for Matlab (https://github.com/vfitoolkit/VFIToolkit-matlab), GitHub. Retrieved .

MATLAB Release Compatibility
Created with R2020a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
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DataEtc

DataEtc/FRED

DataEtc/HumanDevelopmentReport

DataEtc/IMF

DiscretizationMethods/FTsubcodes

DiscretizationMethods/FTsubcodes/Core functionalities

DiscretizationMethods/FTsubcodes/Subroutines

DiscretizationMethods/OLD_TauchenRouwenhorst

DiscretizationMethods/OLD_TauchenRouwenhorst/subcodes

DiscretizationMethods/ProbabilitiesOnGrid

DiscretizationMethods/discretizeAR1_FarmerToda

DiscretizationMethods/discretizeAR1_Rouwenhorst

DiscretizationMethods/discretizeAR1_Tauchen

DiscretizationMethods/discretizeAR1_TauchenHussey

DiscretizationMethods/discretizeAR1wGM_FarmerToda

DiscretizationMethods/discretizeAR1wSV_FarmerToda

DiscretizationMethods/discretizeLifeCycleAR1_FellaGallipoliPan

DiscretizationMethods/discretizeLifeCycleAR1_FellaGallipoliPanTauchen

DiscretizationMethods/discretizeLifeCycleAR1_Kirkby

DiscretizationMethods/discretizeLifeCycleAR1wGM_Kirkby

DiscretizationMethods/discretizeLifeCycleVAR1_Tauchen

DiscretizationMethods/discretizeVAR1_FarmerToda

DiscretizationMethods/discretizeVAR1_Tauchen

Estimation/Calibration

Estimation/MethodOfMoments

Estimation/MomentDerivatives

Estimation/ObjectiveFn

Estimation/ParametrizeCoVarMatrix

EvaluateFnOnAgentDist

EvaluateFnOnAgentDist/FHorz

EvaluateFnOnAgentDist/FHorz/AgeDepGrids

EvaluateFnOnAgentDist/FHorz/FieldExp

EvaluateFnOnAgentDist/FHorz/PType

EvaluateFnOnAgentDist/FHorz/SubfunctionVerions

EvaluateFnOnAgentDist/Mass

EvaluateFnOnAgentDist/PType

EvaluateFnOnAgentDist/TransPath

EvaluateFnOnAgentDist/TransPathFHorz

EvaluateFnOnAgentDist/allstats

EvaluateFnOnAgentDist/digest

EvaluateFnOnAgentDist/subcodes

HeterogeneousAgent

HeterogeneousAgent/EntryExit

HeterogeneousAgent/FHorz

HeterogeneousAgent/FHorz/PType

HeterogeneousAgent/PType

Optimization/CMAES

Other

Other/subcodes

PhiaprimeFnMatrix

PolicyInd2Val

ReturnFnMatrix

ReturnFnMatrix/DivideConquer

ReturnFnMatrix/ExperienceAsset

ReturnFnMatrix/RefineBurst

ReturnFnMatrix/ResidualAsset

SimulateTimeSeries/AggShocksFHorz

SimulateTimeSeries/FHorz

SimulateTimeSeries/FHorz/PType

SimulateTimeSeries/FHorz/Subcodes

SimulateTimeSeries/InfHorz

SimulateTimeSeries/StatsFromPanelValues

SimulateTimeSeries/TransPath

SimulateTimeSeries/TransPathFHorz

StationaryDist

StationaryDist/FHorz

StationaryDist/FHorz/AgeDependentGrids

StationaryDist/FHorz/Case2

StationaryDist/FHorz/Case3

StationaryDist/FHorz/ExpAsset

StationaryDist/FHorz/ExpAssetu

StationaryDist/FHorz/FieldExp

StationaryDist/FHorz/PType

StationaryDist/FHorz/PType/FieldExp

StationaryDist/FHorz/ResidAsset

StationaryDist/FHorz/RiskyAsset

StationaryDist/FHorz/SemiExo

StationaryDist/FHorz/TwoProbs

StationaryDist/FHorz/uProbs

StationaryDist/PType

StationaryDist/QRdecomp

StationaryDist/TransPath

StationaryDist/TransPathFHorz

StationaryDist/With Interpolation

SubCodes

SubCodes/GetInputNames

SubCodes/KronPolicyIndexes

SubCodes/MultiGridLayers

SubCodes/PType

SubCodes/ParameterStructure

SubCodes/SemiExoShocks

SubCodes/StateDependentParameter

SubCodes/UnKronPolicyIndexes

SubCodes/WarmGlowFn

SubCodes/rprimeFnMatrix

TransitionPaths

TransitionPaths/EndoType

TransitionPaths/EndoType/subcodes

TransitionPaths/EntryExit

TransitionPaths/ExoticPrefs

TransitionPaths/FHorz

TransitionPaths/FHorz/PType

TransitionPaths/FHorz/StockVar

TransitionPaths/FHorz/subcodes

TransitionPaths/PType

TransitionPaths/Subcodes

ValueFnFromPolicy

ValueFnIter

ValueFnIter/EndogenousExit

ValueFnIter/EndogenousExit/CreateReturnToExitFnMatrix

ValueFnIter/EndogenousExit/SemiEndogShock

ValueFnIter/ExoticPrefs

ValueFnIter/FHorz

ValueFnIter/FHorz/AgeDependentGrids

ValueFnIter/FHorz/Case2_raw

ValueFnIter/FHorz/Case3

ValueFnIter/FHorz/DivideConquer

ValueFnIter/FHorz/Dynasty

ValueFnIter/FHorz/ExoticPrefs

ValueFnIter/FHorz/ExoticPrefs/AmbiguityAversion

ValueFnIter/FHorz/ExoticPrefs/EpsteinZin

ValueFnIter/FHorz/ExoticPrefs/GulPesendorfer

ValueFnIter/FHorz/ExoticPrefs/QuasiHyperbolic

ValueFnIter/FHorz/ExpAssetSemiExo

ValueFnIter/FHorz/ExperienceAsset

ValueFnIter/FHorz/ExperienceAssetu

ValueFnIter/FHorz/FieldExp

ValueFnIter/FHorz/OnCPU

ValueFnIter/FHorz/ResidualAsset

ValueFnIter/FHorz/RiskyAsset

ValueFnIter/FHorz/SemiExo

ValueFnIter/FHorz/SemiExo/DivideAndConquer

ValueFnIter/FHorz_PType

ValueFnIter/FHorz_PType/FHorz_FieldExp_PType

ValueFnIter/InfHorz

ValueFnIter/InfHorz/EndoType/Refinement

ValueFnIter/InfHorz/EndogenousVFI

ValueFnIter/InfHorz/LowMemory

ValueFnIter/InfHorz/PFI

ValueFnIter/InfHorz/Refinement

ValueFnIter/InfHorz/RelativeVFI

ValueFnIter/InfHorz/SemiEndogShock

ValueFnIter/InfHorz_PType

ValueFnIter/PType

ValueFnIter/PolicyEvaluation

ValueFnIter/TransPath

ValueFnIter/TransPathFHorz

aprimeFnMatrix

Versions that use the GitHub default branch cannot be downloaded

Version Published Release Notes
2.0.0.0

Version 2 update was a while back in github, finally mentioning it on Mathworks :)

1.5.0.0

Breaks backward compatibility.
http://www.vfitoolkit.com/updates-blog/2020/version-1-5-of-toolkit-not-backwards-compatible/

1.4.0.0

Now solves transition paths and entry-exit models. Some notational changes to better describe the exact problems that commands are solving.

1.2.0.0

Now includes codes explicitly for solving heterogeneous agent models and transition paths. Slight reordering of inputs to some commands to allow better handling of internal options and making it easier to not specify options and simply use defaults.

1.1.0.0

Have changed the way the VFI Toolkit handles parameters. This breaks compatibility with version 1.0.

See
http://www.vfitoolkit.com/updates-blog/2015/version-1-1-of-vfi-toolkit/

1.0.0.0

improved description

To view or report issues in this GitHub add-on, visit the GitHub Repository.
To view or report issues in this GitHub add-on, visit the GitHub Repository.