Wouter J. den Haan - Teaching notes & slides
Getting started with DSGE models:
Notes:
- Dynamic Optimization Problems: basic stuff on getting first-order conditions, transversality conditions, state variables, and dynamic programming.
- Equilibrium Models: continuation but now using equilibrium infinite-horizon (mainly monetary models) and OLG models
Slides:
Empirical macro:
Notes:
Slides:
- Slides on filtering and frequency domain
- Slides on IRFs and VARs
- GMM and HAC consistent standard errors for business cycles statistics .
Numerical methods
Notes:
- Function approximation .
- Numerical integration .
- Perturbation: Simple exposition and relation with (modified) LQ.
- Parameterized Expectations "Stochastic" and "non-stochastic (or projections) PEA.
-
Hetero Models
"Survey paper on solving and simulating models with heterogeneous agents and aggregate uncertainty.
- Intro to numerically solving DSGE models .
- Function approximation .
- Numerical integration .
- perturbation
- Blanchard-Kahn conditions
- projection methods
- parameterized expectations algorithm PEA
- Value Function Iteration versus Euler equation methods.
- accuracy tests.
- Intro to solving models with heterogeneous agents
- algorithms to simulate models with heterogeneous agents
- algorithms to solve models with heterogeneous agents with the KS algorithm
- algorithms to solve models with heterogeneous agents with the XPA algorithm
- algorithms to solve models with heterogeneous agents with other algorithms
- Checking for accuracy in models with heterogeneous agents
- Applications of the above slides on algorithms for models with heterogeneous agents
- Solving models when agents have heterogeneous beliefs
Bayesian estimation
Slides:
Dynare
Slides:
- solving models with perturbation & some tricks
- simulating higher-order solutions & pruning
- estimation
- programs related to solving and estimating with Dynare
- In the numerical methods section, there are notes and slides on the theory of perturbation and Blanchard-Kahn conditions
Learning and bounded rationality
Slides:
- Learning in macroeconomic models
- Bounded rationality
- Learning Sunspots in nonlinear models
- Solving models when agents have heterogeneous beliefs
