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YADA
YADA is program for conducting Bayesian estimation and evaluation of Dynamic Stochastic General Equilibrium (DSGE) and Vector AutoRegressive (VAR) models. It is developed by the New Area-Wide Model (NAWM) team at the Monetary Policy Research Division (formerly the Econometric Modelling Division) within the Directorate General Research of the European Central Bank (ECB). Unlike other DSGE estimation applications, such as Dynare, YADA is a GUI-based program.
YADA is distributed with three examples that allow you to start playing with DSGE models directly. The examples are given by the models studied by:
- An, S. and Schorfheide, F. (2007), "Bayesian Analysis of DSGE Models", Econometric Reviews, 26, 113-172.
- Lubik, T.A. and Schorfheide, F. (2007), "Do Central Banks Respond to Exchange Rate Movements? A Structural Investigation", Journal of Monetary Economics, 54, 1069-1087.
- Smets, F. and R. Wouters (2007), "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach", American Economic Review, 97, 586-606.
To take a tour of YADA I warmly recommend that you check out the YADA online help. Among other things, you can look at a large number of screenshots.
- Download YADA as matlab code, version 3.10, released on March 19, 2012 (9,964,623 bytes).
- Download the YADA Manual in pdf, dated March 1, 2012 (2,119,654 bytes).
- Download the guide to extending YADA in pdf, dated February 29, 2012 (854,826 bytes)
- Download fminunc related diff-files (20,991 bytes) if you want to use fminunc within the YADA environment. Requires that you already have the Optimization Toolbox installed.
NOTE: The more recent versions of fminunc may not work with YADA; fminunc no longer seems to have direct support for additional input being sent to the function that should be minimized.
NOTE: The minimum system requirements for running YADA are:
- MS-Windows operating system with Matlab version 5.3 or later. For Matlab versions prior to 7, make sure that it is permitted to run the file aimparser.exe, located in the bin directory of YADA; or
- UNIX or Macintosh OS X with Matlab version 7 or later.
YADA is licensed under the GNU General Public License and is copyright © 2006-2012 European Central Bank.
Additional Information
- YADA has been developed in connection with the New Area-Wide Model (NAWM) project at the ECB. A working paper describing the NAWM (Christoffel, Coenen and Warne, 2008) is available for download from the website of the ECB, while a working paper describing forecasting with DSGE models (Christoffel, Coenen and Warne, 2010) is also available for download from the same site.
- YADA relies on some external code. In particular, it is uses some functions and ideas developed by Mattias Villani at Linköping University. Moreover, it uses AiM (developed by Anderson and Moore at the Federal Reserve) to parse and (optionally) solve the DSGE model. It also includes csminwel (for optimization) and gensys (for solving a DSGE model), developed by Christopher Sims. Moreover, it includes code from Stixbox, developed by Anders Holtsberg, the Lightspeed Toolbox by Tom Minka, the Kernel Density Estimation Toolbox by Christian Beardah, and from Dynare by Michel Juillard and Stephane Adjemian.
- One of YADA'a model solvers uses the Klein (2000) QZ (generalized Schur) decomposition based algorithm. The code in YADA has been inspired by Paul Klein's own solab code. The latter code is available from his website for Matlab as well as for Gauss and Fortran.
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Last Updated: March 19, 2012
