Resources on Computation
Compiled by Gabriel Mihalache

Lecture Notes, General Resources

Stanford Big-Data Initiative in International Macro-Finance, Lecture Videos, Code & Data
Jesús Fernández-Villaverde lecture notes
Pablo A. Guerron-Quintana lecture notes
Wouter J. den Haan lecture notes
Kenneth L. Judd lecture notes and git
Foundations of Computational Economics online, video lecture notes by Fedor Iskhakov
Eric Sims' notes on solving linear RE models (local methods)
Pascal Michaillat' notes and video lectures on unemployment, search, frictional markets
QuantEcon: theory, Python, Julia
Open Source Macroeconomics Laboratory Bootcamp BFI, U Chicago
RED (code) appendices, mostly Fortran and MATLAB
Econ-ARK, structural modeling of economic choices of heterogeneous agents (Python)
Applied Macroeconomics Forum

Intel oneAPI Toolkits are free and include Fortran and C++ compilers, plus libraries like MKL and MPI
NVIDIA HPC SDK is freely available, with GPGPU support via CUDA, OpenMP, and OpenACC
Windows Subsystem for Linux for Windows 10+ allows you to install gfortran, MPI, and other open source libraries
Fortran language support for Visual Studio Code, now with Intel OneAPI support
SimplyFortran is a commercial all-in-one option for gfortran on Windows
Fortran-Lang's list of compilers

Fortran-Lang's list of packages
Modern Fortran: Building efficient parallel applications, free to read online/"live book"
Grey Gordon lecture notes
FortranWiki
MPI Tutorial (Youtube), to get started with parallel computting across multiple computers
Fortran for C Programmers from the LLVM project
Code for Dynamic General Equilibrium Modelling by Burkhard Heer and Alfred Maußner
b-splines for interpolation in 1-6D
ogpf, Object Based Interface to GnuPlot from Fortran
MINPACK and NLESolver-Fortran for solutions to system of nonlinear equations
NLopt for constrained maximization with local or global methods. For Fortran use these much higher quality bindings
A note on my Fortran+MATLAB workflow, to easily save and load binary data with full precision

My GPU code examples: the income fluctuation problem and a sovereign default model
Dynare for local methods, deterministic/perfect foresight, filtering and more
The Bayesian Estimation, Analysis and Regression toolbox (BEAR) is a comprehensive (Bayesian Panel) VAR toolbox for forecasting and policy analysis.
Matlab and Dynare Codes by Eric Sims
OccBin for local methods with occasionally binding constraints
RISE Toolbox for solution and estimation of Markov Switching Rational Expectations
A toolbox for VAR analysis, by Ambrogio Cesa-Bianchi
Lilia Maliar publications and code appendices (incl applications of machine learning)
Chebyshev and Smolyak approxmation by Robert Kirkby
Chebfun for Chebyshev interpolation and approximation

Intel oneAPI Toolkits are free and include Fortran and C++ compilers, plus libraries like MKL and MPI
C++ Wiki and language reference
Armadillo templating library for vectors, matrices and higher dimension arrays
SG++, the sparse grid toolbox
Tasmanian, a collection of robust libraries for high dimensional integration and interpolation, including adaptive grids
Solvers and maximization: NLopt, dlib, Ceres Solver
Akima splines for mitigating oscillations of interpolation
Guide on mixing C++11 and Fortran 2008
clang-format for consistent code formatting and style

Financial Frictions and the Wealth Distribution, Fernández-Villaverde et al.
Deep learning solution method with all-in-one expectation operator, L. Maliar et al.
Flux.jl for neural networks in Julia; TensorFlow for Python
A minimalist Flux tutorial for a simple classifier
neural-fortran for neural networks in Fortran, parallelized on the CPU