VFI Toolkit

[VFI Toolkit @vfitoolkit]

VFI Toolkit - Your Choice for Entrepreneurial Choice

Replications and Examples of Kitao (2008) and Bruggemann (2021):
https://t.co/HzqEPxGTxk

[VFI Toolkit @vfitoolkit]

Not toolkit, but related and hopefully interesting to you. Building Econ Theory in Lean, and on the side to also prove which algorithms solve which models. You can join the LeanEconomics org and contribute.

[Robert Kirkby @robertdkirkby]

LeanEconomics
https://t.co/U4Y1n6Wl6o

Current: prove existence of stationary general eqm for Aiyagari 1994, plus uniqueness for mu=1 (already known, now Lean formalized).

Please feel free to join the Github org and contribute to Econ in Lean.

Explain: https://t.co/VNw6X5wRdQ

[VFI Toolkit @vfitoolkit]

Claude + VFI Toolkit = Superpower

Wrote a replication of core result of Huggett & @King_ofSweden (2000). Four OLG models in under three hours!!!

Key: Toolkit provides structure, code needed is only a few hundred lines. Claude loves this.

Details: https://t.co/0pi9p37YRp

[VFI Toolkit @vfitoolkit]

VFI Toolkit v2.5: Breaks all infinite-horizon models.
Just find-and-replace-all "_Case1" with "_InfHorz"
https://t.co/DICVUC5VpC

Tees up some cool future functionality, with Entrepreneurial-Choice later this month, and aggregate shocks later this year...

[VFI Toolkit @vfitoolkit]

Publication using VFI Toolkit:
https://t.co/nqSrQw0IBt

OLG model with two endogenous states, assets and human capital. Toolkit commands solve the OLG and calibrate eqm to match life-cycle microdata. Then perform optimal tax exercise.

VFI Toolkit handles it all comfortably!

[VFI Toolkit @vfitoolkit]

Online Video Workshop on VFI Toolkit
https://t.co/MMpDmg3CKA
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.

[VFI Toolkit @vfitoolkit]

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

https://t.co/znFOkUZO5U

https://t.co/v9MEX3gJtf

[VFI Toolkit @vfitoolkit]

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.

[VFI Toolkit @vfitoolkit]

(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

https://t.co/RKwNlrSj4t

[VFI Toolkit @vfitoolkit]

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: https://t.co/jnB5jXztCn

[VFI Toolkit @vfitoolkit]

@FlorianOswald Or you can look at the 'Intro to Life-Cycle Models' directly
https://t.co/GJBGqEpRb9

[VFI Toolkit @vfitoolkit]

Human Capital!
Life-Cycle Model 42: Female Labor Force Participation History
Life-Cycle Model 43: Uncertain Human Capital
https://t.co/U0o4fE9wl4

(two new life-cycle models in the Intro to Life-Cycle Models, both have assets + human capital)

[VFI Toolkit @vfitoolkit]

@FlorianOswald https://t.co/2sLatrZcas
(guess the shortened one expired?? thanks for letting me know)

[VFI Toolkit @vfitoolkit]

(New) Example: Huggett, Ventura & Yaron (2006)
https://t.co/cFRO0FKrhd
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

[VFI Toolkit @vfitoolkit]

GMM Estimation of Life-Cycle models
https://t.co/cwCcqvRUVL
Life-Cycle models 45-50 in the Intro to Life-Cycle models show how to do GMM estimation in VFI Toolkit with just 5-10 lines of code (after model and data work). I'm excited about this! :D

[VFI Toolkit @vfitoolkit]

@AlexZevelev @robertdkirkby I would love to see it, but would require someone to code it. VFI toolkit is just one person, and I am already busy with the Matlab code. As a historical note, VFI Toolkit was started when Julia was beta and did not do GPUs, so was not an option at that time.

[VFI Toolkit @vfitoolkit]

Breaking update to getFredData()

Output now uses Matlab datetime format. https://t.co/4aizU9Advy(:,1) used to be dates, now in X.Dates; https://t.co/4aizU9Advy(:,2) used to be data values, now in https://t.co/4aizU9Advy. Inputs unchanged, can use datetime as start/enddate.

[VFI Toolkit @vfitoolkit]

Matlab replaced datenum with datetime as standard way to handle time/dates (in R2022). getFredData() has now be updated to reflect this by using datetime.

A legacy version of getFredData() using datenum is available in github repo: getfreddata-matlab-legacy

[VFI Toolkit @vfitoolkit]

v2.2: Same same, but faster! 🔥

VFI Toolkit is now much faster thanks to implementing Tan improvement for all agent distribution computations (it is so fast the FnsToEvaluate got embarassing, so these were overhauled for speed too)

Huge shout to Eugene Tan for this genius idea!

[VFI Toolkit @vfitoolkit]

Behavioural Life-Cycle Models
Impatience, Temptation and Self-Control, Loss Aversion and Ambiguity Aversion can now all be handled in life-cycle models! (and OLG ;)
https://t.co/8bnPU7qSgz