Hansen(1985) Replication errors

R_C_J · May 20, 2024, 11:52pm

Has anyone been able to successfully run the replication of Hansen (1985) on CPU not GPU. I’ve updated the VFIToolkit but getting the following errors:

Solve value fn problem
Unrecognized function or variable ‘ReturnFnParams’.

Error in ValueFnIter_Case1_Refine (line 43)
ReturnMatrix_z=CreateReturnFnMatrix_Case1_Disc_Par2(ReturnFn,n_d, n_a, n_z_temp,d_grid, a_grid, zvals,ReturnFnParams,1); % the 1 at the end is to output for refine

Error in ValueFnIter_Case1 (line 629)
[VKron,Policy]=ValueFnIter_Case1_Refine(V0,n_d,n_a,n_z,d_grid,a_grid,z_grid,pi_z,ReturnFn,ReturnFnParamsVec,DiscountFactorParamsVec,vfoptions);

Error in code1 (line 86)
[V,Policy]=ValueFnIter_Case1(n_d,n_a,n_z,d_grid,a_grid,z_grid,pi_z, ReturnFn, Params, DiscountFactorParamNames, , vfoptions);

robertdkirkby · May 21, 2024, 10:10pm

The ‘replications’ are only intended for GPU (they would otherwise take a fair while to run anyway).

If you are just interested in how to solve a basic RBC, you can check out

github.com

vfitoolkit/VFItoolkit-matlab-examples/blob/master/BasicRealBusinessCycleModel.m

% Example using a variant of the Basic RBC model (following Aruoba, Fernandez-Villaverde, & Rubio-Ramirez, 2006)
%
% Note: On GPU this will take fractions of a second, on CPUs you will want to make the grids smaller (n_d,n_a,n_z) or it will take a while.

tic;
UseAlternativeParams=1;

%% Set up

% Number of grid points
n_d=50;
n_a=250;
n_z=21;  %Note, for the figures to correctly use z=0 this must be an odd number (make it 39)

%Discounting rate
Params.beta = 0.9896;

%Parameter values
Params.alpha = 0.4; % alpha
Params.theta=0.357;

This file has been truncated. show original

(you need the return function file as well)

PS. If your goal is learning value functions, great. If your goal is solving RBC models you will be much better of with Dynare.

PPS. Only basic functionality of VFI Toolkit can be done without a gpu