Quantitative Methods in Macroeconomics
fall 2013
Warning: materials contain a lot of mistakes
Note: I am grateful for feedback about those mistakes
Lecture 1
Slides
Lecture 1A - reursive problems
Lecture 1B - topology
Class 1 - Introduction to Matlab and Latex
Class 1 - intro to Matlab and Latex
Class 1 Example - presentation in latex
Class 1 Example - paper in latex
Class 1 - Matlab intro file
Problem set (deadline: 16 Sept 2013 23.55)
Problem set 1 (updated 3 Sept)
Lecture 2
Slides
Lecture 2A - social planner
Lecture 2B - Bellman in Matlab
Class 2
Class 2 - solutions to PS1
Problem set (deadline: 1 October 23.55)
Problem set 2 (updated 18 Sept) value_det_new.m and value_detcheb.m
Lecture 3
Slides
Lecture 3 - approximation methods, log-linearization (updated 11 Oct 2013)
Class 3
Class 3 - a look at PS1 solutions (solutions to PS2 postponed)
Problem set (NEW DEADLINE: 16 October 18.00)
Problem set 3 (updated 24 Sept: Q3 government behaviour)
Useful material:
How to write a referee report
Schnider add-on for Uhlig toolkit (look for Makesysmat Version 1.0)
Lecture 4
Slides
Lecture 4 - data: extracting trends and cycles (updated 15 Oct 2013)
Class 4
Class 4 - solutions to PS 3
Problem set (deadline: 29 October 23.55)
Problem set 4 - Log-linearization, Uhlig toolkit and a referee report
Useful material:
Spectral density
Filters: example how to use HP and BP filters, band-pass filter, hp filter, one-sided HP filter
Lecture 5
Slides
Lecture 5 - VAR estimation (updated 25 Oct 2013)
Problem set (deadline: 12 November 23.55)
Problem set 5 - VAR estimation and a referee report (uploaded 25 Oct 2013)
Useful material:
Simple monetary VAR code
Lecture 6
Slides
Lecture 6 - special topics: labor markets: matching model
Problem set (deadline: 26 November at 23.55)
Problem Set 6 - (simplified-modified PS2) (with the new code: value_det_PS6.m)
Useful material:
Equilibrium Unemployment Theory course by Mathias S. Hertweck
Lecture 7
Slides
Lecture 7A - new keynesian models
Lecture 8
Slides
Lecture 8A - more solution techniques, higher order approximation, etc.
Lecture 8B - DSGE estimation, Kalman filter, ML and Bayesian
Problem set (deadline: tba 23.55)
Problem set 7&8 - NK model
Useful material:
Peter N. Ireland website for ML DSGE estimation, paper, the codes with my small upgrade, code with highlights and folder
Smets and Wouters (2007), code with highlights and folder
More links for good sites
Similar courses:
VIDEOs - Lawrence J. Christiano and Jesús Fernández-Villaverde
Georg Dürnecker - Quant Macro at Mannheim Uni
Dirk Krueger (RBC models)
Christian Bayer - Dynamic Macroeconomics
Fabio Canova - courses at CREi
Fabio Canova - courses at the EUI
Personal webpages (with codes):
Sources of good papers:
Software:
Setting up Matlab on your computer:
Matlab introductions:
Matlab intro by Aleksei Netšunajev
GNU octave (similar to Matlab in programming language, but cannot guarantee that all codes work smoothly)
Setting up latex on your computer:
You basically need three ingredients (safest to install Miktex and GS tools before latex editor)
1. Miktex (latest release, currently 2.9)
3. GS tools (Ghostscript and GSview)
4. Latex editor, select one or several, e.g.: TexnicCenter, TeXstudio, WinEdt, but feel free to choose your own favorite
Latex introductions:
Not So Short Introduction to Latex by Tobias Oetiker
Beamer user guide (for making presentation slides)
User friendly latex, typing like in MS Word, also helps with math (but not for free):
User friendly latex (less famous but free)