README.md

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Economics PINN: Deep learning for solving and estimating dynamic macro-finance models

The data and code for the paper B. Fan, E. Qiao, A. Jiao, Z. Gu, W. Li, & L. Lu. Deep Learning for Solving and Estimating Dynamic Macro-Finance Models.

Code

• A Macroeconomic Model with a Financial Sector
  • Forward PDE Problem
  • Inverse PDE Problem with One Unknown Variable
  • Inverse PDE Problem with Two Unknown Variables
  • Reference solution for comparison can be found in the hjb_data folder
• A Model of Industrial Dynamics with Financial Frictions
  • Forward PDE Problem
  • Inverse PDE Problem with Two Unknown Variables
  • Inverse PDE Problem with Three Unknown Variables
  • Reference solution for comparison can be found in the bs_data folder

Cite this work

If you use this data or code for academic research, you are encouraged to cite the following paper:

@article{fan2024deep,
  author  = {Fan, Benjamin and Qiao, Edward and Jiao, Anran and Gu, Zhouzhou and Li, Wenhao and Lu, Lu},
  title   = {Deep Learning for Solving and Estimating Dynamic Macro-Finance Models},
  journal = {Computation Economics},
  year    = {2024},
  doi     = {https://doi.org/10.1007/s10614-024-10693-3}
}

Questions

To get help on how to use the data or code, simply open an issue in the GitHub "Issues" section.