Links

Numerical Tools

Cuba: A C library for multidimensional numerical integration (quasi Monte-Carlo and cubature rules)
Quadrule: QUADRULE is a library of FORTRAN90 routines, using double precision arithmetic, which set up a variety of quadrature rules, used to approximate the integral of a function over various domains.
Stroud: STROUD is a library of FORTRAN90 routines, using double precision arithmetic, which implement multidimensional quadrature rules of Arthur Stroud.

The Anderson-Moore algorithm (AIM): The Anderson-Moore Algorithm is a powerful method for solving linear saddle point models. It is incoporated into Dynare since version 4.1.
Hehui Jin's PSD (dead link): PSD, a small program to solve dynamic system by perturbation method
Perturbation AIM: Perturbation AIM is an algorithm that solves a linear or nonlinear dynamic, discrete-time system of rational expectations equations to arbitrarily high order, in the sense of a Taylor series approximation.
Works with Mathematica.
CompEcon: CompEcon is a set of MATLAB functions for solving a variety of problems in economics and finance.
The CompEcon Toolbox was developed to accompany:
Applied Computational Economics and Finance, Mario J. Miranda & Paul L. Fackler, MIT Press.
Portable TROLL: Portable TROLL is an integrated software system for econometric modelling and statistical analysis.
Uhlig's toolkit: A toolkit for analyzing nonlinear economic dynamic models easily: MATLAB program
Author: Prof. Harald Uhlig
Winsolve: A computer package for solving nonlinear models.