momentmatching.jl
This is a package to estimate parameters of macroeconomic models by moment matching methods, such as GMM or SMM.
Science Score: 44.0%
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Low similarity (15.5%) to scientific vocabulary
Repository
This is a package to estimate parameters of macroeconomic models by moment matching methods, such as GMM or SMM.
Basic Info
- Host: GitHub
- Owner: ZoltanRacz
- License: mit
- Language: Julia
- Default Branch: main
- Size: 3.13 MB
Statistics
- Stars: 5
- Watchers: 1
- Forks: 0
- Open Issues: 14
- Releases: 17
Metadata Files
README.md
MomentMatching
by Gualtiero Azzalini (Stockholm School of Economics)\ and Zoltan Racz (Stockholm School of Economics)
This package provides a unified framework to perform Method of Moments (Generalized and Simulated) parameter estimation for economic models.
Generalized Method of Moments (GMM) estimation consists in finding the vector of parameters $\theta$ that solves the following system of equations:
math
\mathbb{E}\left[g\left(\theta\right)\right]=0
where $g$ is a vector of functions representing moment conditions derived from a model depending on the vector of parameters to be estimated $\theta$. When moment conditions are computed via simulation, the above procedure is called Simulated Method of Moments (SMM) estimation.
When the system is over-identified ($g$ has higher dimensionality than $\theta$), solving such an equation exactly is in general not possible. Instead, the goal becomes finding the vector of parameters $\theta$ that minimizes the following objective function:
math
g(\theta)^{\prime} W g(\theta)
where $W$ is a weighting matrix.
Features
This package aims at providing a general toolbox for such estimation exercises, irrespective of what model one wants to estimate. Ready-to-use tools are provided to: 1. estimate $\theta$ via a combination of global search and a local optimization routine; 2. perform diagnostic checks on the results; 3. do statistical inference and 4. produce tables and figures displaying the estimation results.
The package was built having in mind three key features: - Ease of use: The user just needs to write a wrapper around her code conformable with the estimation routines and set the algorithm options before running the main estimation function. This is an easy task even if the model code was not written specifically to be compatible with this package. - Flexibility: Routines can be used for the estimation of any model. Estimation of robustness checks and alternative model specifications is convenient. - Parallelization: Multithreading and multiprocessing (also combined) are supported, both locally and on a cluster.
Documentation
The online documentation is available at https://ZoltanRacz.github.io/MomentMatching.jl/stable
Note: A version 2.0 with cleaner syntax and more detailed documentation can be expected in 2025.
A worked out example with the current version of the code is shown at https://ZoltanRacz.github.io/MomentMatching.jl/stable/examples
Owner
- Login: ZoltanRacz
- Kind: user
- Repositories: 1
- Profile: https://github.com/ZoltanRacz
Citation (CITATION.bib)
@misc{MomentMatching.jl,
title = {{MomentMatching.jl}: Parameter Estimation of Economic Models via Moment Matching Methods in Julia},
author = {Azzalini, Gualtiero and Rácz, Zoltán},
year = {2024},
howpublished = {\url{https://github.com/ZoltanRacz/MomentMatching.jl}}
}
GitHub Events
Total
- Create event: 15
- Commit comment event: 1
- Issues event: 3
- Release event: 4
- Watch event: 7
- Delete event: 14
- Issue comment event: 8
- Push event: 53
- Pull request review comment event: 7
- Pull request review event: 15
- Pull request event: 35
Last Year
- Create event: 15
- Commit comment event: 1
- Issues event: 3
- Release event: 4
- Watch event: 7
- Delete event: 14
- Issue comment event: 8
- Push event: 53
- Pull request review comment event: 7
- Pull request review event: 15
- Pull request event: 35
Issues and Pull Requests
Last synced: 7 months ago
All Time
- Total issues: 1
- Total pull requests: 18
- Average time to close issues: about 1 year
- Average time to close pull requests: about 3 hours
- Total issue authors: 1
- Total pull request authors: 4
- Average comments per issue: 2.0
- Average comments per pull request: 0.17
- Merged pull requests: 9
- Bot issues: 0
- Bot pull requests: 3
Past Year
- Issues: 0
- Pull requests: 18
- Average time to close issues: N/A
- Average time to close pull requests: about 3 hours
- Issue authors: 0
- Pull request authors: 4
- Average comments per issue: 0
- Average comments per pull request: 0.17
- Merged pull requests: 9
- Bot issues: 0
- Bot pull requests: 3
Top Authors
Issue Authors
- ZoltanRacz (16)
- gualtiazza (3)
Pull Request Authors
- ZoltanRacz (82)
- github-actions[bot] (16)
- gualtiazza (13)
- dependabot[bot] (6)
Top Labels
Issue Labels
Pull Request Labels
Packages
- Total packages: 1
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Total downloads:
- julia 1 total
- Total dependent packages: 0
- Total dependent repositories: 0
- Total versions: 1
juliahub.com: MomentMatching
This is a package to estimate parameters of macroeconomic models by moment matching methods, such as GMM or SMM.
- Documentation: https://docs.juliahub.com/General/MomentMatching/stable/
- License: MIT
-
Latest release: 1.0.0
published over 1 year ago
Rankings
Dependencies
- actions/checkout v4 composite
- julia-actions/cache v1 composite
- julia-actions/julia-buildpkg v1 composite
- julia-actions/julia-runtest v1 composite
- julia-actions/setup-julia v1 composite
- JuliaRegistries/TagBot v1 composite