Solver of dynamic equations with forward looking variables
Project description
dsolve
dsolve
is a package to solve systems of dynamic equations in Python.
Sequence Space
$$F(X,\mathcal{E})=0$$
$$f_t(x_{t-1},x_{t},x_{t+1},\epsilon_t)=0\qquad \forall t$$
Symbolic
A package to solve systems of dynamic equations with Python. It understands $\LaTeX$ syntax and it requires minimum specifications from the user end. It solves problems of the form:
$$A_0\begin{bmatrix}x_{t+1}\ E_{t}[p_{t+1}]\end{bmatrix}=A_1\begin{bmatrix}x_{t}\ p_{t}\end{bmatrix}+\gamma z_t$$
with $x_t$ given. Following Blanchard Kahn notation, $x_{t}$ are state variables (known at time $t$) while $p_{t}$ are forward-looking variables, and $z_t$ are shocks with $E_t[z_{t+1}]=0$. The solver uses the Klein (2000) algorithm which allows for $A_0$ to be invertible.
Returns the matrix solution
$$p_t=\Theta_p x_t+Nz_t$$ $$x_{t+1}=\Theta_x x_t+Lz_t$$
and methods to plot impulse responses given a sequence of $z_t$
The main class of the package is Klein
, which stores and solves the dynamic system. It takes a list of strings that are written as $\LaTeX$ equations, a dictionary that define the numeric values of the parameters, and the specification of x
, p
and z
, specified as a list of $\LaTeX$ strings or a long string separated by commas.
Usage (for more examples check the notebook tutorial)
from dsolve.solvers import Klein
# Your latex equations here as a list of strings
eq=[
'\pi_{t}=\beta*E\pi_{t+1}+\kappa*y_{t}+u_{t}',
'y_{t}=Ey_{t+1}+(1-\phi)*E[\pi_{t+1}]+\epsilon_{t}',
'\epsilon_{t} = \rho_v*\epsilon_{t-1}+v_{t}'
]
# Your calibration here as a dictionary
calibration = {'\beta':0.98,'\kappa':0.1,'\phi':1.1,'\rho_v':0.8}
# Define pre-determined variables, forward looking variables, and shocks as strings separated by commas or a list of strings.
x = '\epsilon_{t-1}'
p = '\pi_t, y_t'
z = 'v_t, u_t'
system = Klein(eq = eq, x=x, p=p, z=z, calibration=calibration)
# Simulate the inpulse response of a shock v_{0}=0 for 12 periods when \epsilon_{-1}=0
system.simulate(x0=0, z = {'v_{t}':1}, T=12)
Flexible input reading
The standarized way to write a variable is E_{t}[x_{s}]
to represent the expectation of x_{s}
at time t
. but dsolve
understands other formats. Ex_{s}
, E[x_s]
and Ex_s
are quivalents to E_{t}[x_{s}]
, and the subscript t
is assumed.
Greek symbols can be writen as \rho
or just rho
.
dsolve
understands fractions and sums. \sum_{i=0}^{2}{x_{i,t}}
produces x_{0,t}+x_{1,t}+x_{2,t}
and fraction \frac{a}{b}
produces (a)/(b)
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