Macroeconomic Modeling (QEM)

Recursive approach to dynamic economic models. Global vs local solutions. Curse of dimensionality. Value function iteration. Policy function iteration. Overlapping generations models. Discretization of continuous processes. Models with uninsured idiosyncratic risk. Perturbation techniques.

The course aims to teach students how to apply a set of mathematical, econometric and statistical methods in modeling economic processes. It hence bridges the gap between theoretical analysis offered at advanced macroeconomics courses and the need to apply the models in practice. The course participants will be presented tools used in contemporaneous macroeconomic empirical analysis and given the opportunity to apply them in their own research.

Literatura podstawowa:

F. Canova (2007), Methods for Applied Macroeconomic Research, Princeton University Press; B. Heer, A. Maussner (2008), Dynamic General Equilibrium Modeling: Computational Methods and Applications. Springer: Berlin, 2 edn.; K. Judd, (1998), Numerical Methods in Economics, MIT Press; G. McCandless (2008), The ABCs of RBCs: An Introduction to Dynamic Macroeconomic Models, Harvard University Press.

Literatura uzupełniająca:

A selection of published and working papers.

Evaluation criteria

Other (assignments given by instructor): 75.00%

Projects (mini-research project): 25.00%

The threshold percentage of absences (excluding lectures)

defined as the proportion of class hours beyond which the achievement of learning outcomes is deemed unattainable: 50%

Recursive approach to dynamic economic models. Global vs local solutions. Curse of dimensionality. Value function iteration. Policy function iteration. Overlapping generations models. Discretization of continuous processes. Models with uninsured idiosyncratic risk. Perturbation techniques.

The course aims to teach students how to apply a set of mathematical, econometric and statistical methods in modeling economic processes. It hence bridges the gap between theoretical analysis offered at advanced macroeconomics courses and the need to apply the models in practice. The course participants will be presented tools used in contemporaneous macroeconomic empirical analysis and given the opportunity to apply them in their own research.

Literatura podstawowa:

F. Canova (2007), Methods for Applied Macroeconomic Research, Princeton University Press; B. Heer, A. Maussner (2008), Dynamic General Equilibrium Modeling: Computational Methods and Applications. Springer: Berlin, 2 edn.; K. Judd, (1998), Numerical Methods in Economics, MIT Press; G. McCandless (2008), The ABCs of RBCs: An Introduction to Dynamic Macroeconomic Models, Harvard University Press.

Literatura uzupełniająca:

A selection of published and working papers.

Evaluation criteria

Other (assignments given by instructor): 75.00%

Projects (mini-research project): 25.00%

The threshold percentage of absences (excluding lectures)

defined as the proportion of class hours beyond which the achievement of learning outcomes is deemed unattainable: 50%

Recursive approach to dynamic economic models. Global vs local solutions. Curse of dimensionality. Value function iteration. Policy function iteration. Overlapping generations models. Discretization of continuous processes. Models with uninsured idiosyncratic risk. Perturbation techniques.

The course aims to teach students how to apply a set of mathematical, econometric and statistical methods in modeling economic processes. It hence bridges the gap between theoretical analysis offered at advanced macroeconomics courses and the need to apply the models in practice. The course participants will be presented tools used in contemporaneous macroeconomic empirical analysis and given the opportunity to apply them in their own research.

Literatura podstawowa:

F. Canova (2007), Methods for Applied Macroeconomic Research, Princeton University Press; B. Heer, A. Maussner (2008), Dynamic General Equilibrium Modeling: Computational Methods and Applications. Springer: Berlin, 2 edn.; K. Judd, (1998), Numerical Methods in Economics, MIT Press; G. McCandless (2008), The ABCs of RBCs: An Introduction to Dynamic Macroeconomic Models, Harvard University Press.

Literatura uzupełniająca:

A selection of published and working papers.

Recursive approach to dynamic economic models. Global vs local solutions. Curse of dimensionality. Value function iteration. Policy function iteration. Overlapping generations models. Discretization of continuous processes. Models with uninsured idiosyncratic risk. Perturbation techniques.

The course aims to teach students how to apply a set of mathematical, econometric and statistical methods in modeling economic processes. It hence bridges the gap between theoretical analysis offered at advanced macroeconomics courses and the need to apply the models in practice. The course participants will be presented tools used in contemporaneous macroeconomic empirical analysis and given the opportunity to apply them in their own research.

Literatura podstawowa:

F. Canova (2007), Methods for Applied Macroeconomic Research, Princeton University Press; B. Heer, A. Maussner (2008), Dynamic General Equilibrium Modeling: Computational Methods and Applications. Springer: Berlin, 2 edn.; K. Judd, (1998), Numerical Methods in Economics, MIT Press; G. McCandless (2008), The ABCs of RBCs: An Introduction to Dynamic Macroeconomic Models, Harvard University Press.

Literatura uzupełniająca:

A selection of published and working papers.