VFI Toolkit

2025 Workshop @ LSE Online Video Version of a Workshop on using VFI Toolkit originally taught at LSE in May 2025. Workshop introduces VFI Toolkit and shows how to solve a wide variety of Life-Cycle and OLG models. Emp…

Online Video Workshop on VFI Toolkit
vfitoolkit.com/2025-worksho...
Original was taught in-person at LSE in May 2025.

Videos cover toolkit concepts and walk through codes. All slides & codes available to play with. Great intro to VFI Toolkit.

Links to two papers. The OBR work also involves HM Treasury.

obr.uk/docs/dlm_upl...

www.rbnz.govt.nz/-/media/proj...

OLG models for policy institutions? The Office of Budget Responsibility (UK) and the Reserve Bank of New Zealand both use VFI Toolkit to build OLG models for policy analysis and advice. VFI Toolkit makes these models much simpler to build, modify, and analyse.

Life-Cycle Model 27 (New) Life-Cycle Model 27 is a simple exogenous labor supply model, but using the rich earnings dynamics process “Model 5” of Guvenen, Karahan, Ozkan & Song (2021). This is a state-of-the-art earnings dynam...

(New) Life-Cycle Model 27
Discretize earnings dynamics 'Model 5' of Guvenen, Karahan, Ozkan & Song (2021), use in exo-labour life-cycle model.

All discretization methods are extensions of Tanaka-Toda method. Lots of gaussian-mixtures :D

surl.li/pjeetp

Exogenous shocks (improving Intro to Life-Cycle Models) Just pushed the full overhaul of Appendix A of the Intro to Life-Cycle Models. Now covers a wide variety of shocks. Explains the three shock types: semi-exogenous, markov and i.i.d. shocks. How to use...

VFI Toolkit contains discretization methods for: AR(1), AR(1) w/ gaussian-mixture, AR(1) with stochastic volatility, AR(2), VAR(1), life-cycle AR(1), life-cycle AR(1) w/ gaussian-mixture.

Codes harmonize inputs, outputs, notation.
Examples: shorturl.at/A6yX2

Example: Huggett, Ventura & Yaron (2006) Example based on Huggett, Ventura & Yaron (2006) Does two things: i) based on PSID data, estimate life-cycle profiles ii) calibrate life-cycle model with human capital to reproduce the life-cycle ...

(New) Example: Huggett, Ventura & Yaron (2006)
discourse.vfitoolkit.com/t/example-hu...
Does two things:
i) use PSID data in Matlab to estimate life-cycle profiles
ii) calibrate life-cycle model with human capital to reproduce the life-cycle profiles