Continuous time search models in Julia

Search models in discrete time in QuantEcon lectures are a great resource. Was wondering whether there are similar resources for continuous time search models in Julia, of the likes of Pastel-Vinay and Robin (2002) or Cahuc Postel-Vinay and Robin (2006)? Any help is highly appreciated! Thanks!

Hi @moshi , that would be an excellent addition. Do you know of a matlab implementation that does what you want? Having matlab code isn’t necessary but it might help kick things off.

Hi @john.stachurski. Looking at the journals, I found that almost all of these models on wage dispersion are written in Fortran. Examples are Bagger, Fontaine, Postel-Vinay and Robin (2014) and Bagger and Lentz (2019). However, I found [Lise and Postel-Vinay (2020)] wrote it on Matlab [(code and data)]. Even though it is not exactly on wage dispersion, it has similar ideas of sequential contracting with OTJ search as in the papers above.
[PS: As a new user I was not allowed to post more than 2 links. So Bagger et al. 2014 is available on Open ICPSR via AER, and Bagger and Lentz (2019)'s code and data is available on its ReStud webpage]

Hi @moshi,

Thanks for all the references. Fortran is useful too.

I’m tied up for the next few weeks but I’ll try to get to this after that. I think it’s a very good idea.

(If, in the meantime, you get time make a first pass, then @jlperla and I can try to optimize it and fill out the rest of the lecture. Of course we’ll credit you in the lecture if we do so.)

That sounds good! I will work on it next week. It will be a very useful addition.

Do you know any other paper with search models code in Matlab?
Because i try to translate the code of search with learning to Matlab but due to the fact that i don’t know Python there are some thing that i don’t know what the code in phyton is doing.

Hello @john.stachurski @moshi,

Do you have any updates on this? If not, I’ve written up a version of Cahuc, Postel-Vinay and Robin (2006) in Matlab that I can share.

That would be great @nacho . Perhaps we could convert it to Julia and jointly post it on ?

It might take me a few weeks to find time (in the middle of teaching and running exams) but I’m keen.