Dynamic Rational Inattention Problems (DRIPs)

DRIPs.jl is a Julia software package that provides a fast and robust method for solving LQG Dynamic Rational Inattention models using the methods developed by Afrouzi and Yang (2020).

Installation

To add the package, execute the following in Julia REPL:

using Pkg; Pkg.add("DRIPs");

To import and use the package, execute:

using DRIPs;

Overview

• Problem
• Steady State of DRIPs
• Transition Dynamics of DRIPs
• Impulse Response Functions
• Simulations of DRIPs

Syntax

• Methods for Steady State of DRIPs
• Methods for Transition dynamics of DRIPs
• Methods for Impulse Response Functions
• Methods for Simulating DRIPs
• Aux. Functions

Examples and Replications

• Pricing under RI w/o Endogenous Feedback
• Pricing under RI with Endogenous Feedback
• Replication of Mackowiak and Wiederholt (2009)
• Replication of Sims (2010)
• Replication of Mackowiak, Matejka and Wiederholt (2018)
• Replication of the Quantitative Analysis in Afrouzi and Yang (2020)