General Information
Suggested textbooksOther useful references- Press et al., Numerical Recipes: The Art of Scientific Computing, Cambridge University Press. The classic book for numerical analysis, for Fortran and C++.
- Marimon-Scott, Computational Methods for the Study of Dynamic Economies, Oxford University Press [MS]
In what follows, I will outline the topics that we cover during the course, as we make progress. September 3: What is Quantitative Macroeconomics?/Micro Data: A Helicopter TourI will begin with a methodological discussion about different approaches to quantitative research in macroeconomics. Next, I'll explain the role of micro data in macro research, and give you a brief overview of the available micro data that researchers routinely use in heterogeneous-agent macro models. - Prescott, Edward (2004). The Transformation of Macroeconomic Policy and Research, Nobel Lecture
- Heckman, Jim (2001). Micro Data, Heterogeneity, and the Evaluation of Public Policy: Nobel lecture.
- JEP 1996, volume 10 Symposium: Computational Experiments in Macroeconomics. Articles by Kydland-Prescott, Hansen-Heckman, and Sims.
- Browning, Martin, Jim Heckman, and Lars Hansen (1999). Micro Data and General Equilibrium Models, Handbook of Macroeconomics.
- Hornstein-Krusell-Violante (2011). Frictional Wage Dispersion in Search Models: A Quantitative Assessment (sections I and II only as example of calibration vs estimation)
- Todd-Wolpin (2006). Assessing the Impact of a School Subsidy Program in Mexico: Using a Social Experiment to Validate a Dynamic Behavioral Model of Child Schooling and Fertility
- Document describing in detail several useful micro data sources (special thanks to Victor Rios-Rull for making it available)
Homework 1 (due next Thursday) Brief description of some datasets (thanks Victor Rios-Rull) and useful list of data sources (thanks Victoria!)
- Chamberlain, Gary. 1984. Panel Data. In Handbook of Econometrics, vol. 2, edited by Zvi Griliches and Michael D. Intrilligator. Amsterdam: North-Holland.
- Altonji, Joseph G., and Lewis M. Segal. 1996. Small-Sample Bias in GMM Estimation of Covariance Structures. J. Bus. and Econ. Statis. 14 (July): 353-66.
- Heathcote, Jonathan, Fabrizio Perri, and Giovanni L. Violante. 2010. Unequal We Stand: An Empirical Analysis of Economic Inequality in the United States 1967-2006. Rev. Econ. Dynamics (section 7 especially)
- Heathcote, Jonathan, Kjetil Storesletten, and Giovanni L. Violante. 2008. “The Macroeconomic Implications of Rising Wage Inequality in the United States. (Appendix A2)
- Guvenen, Fatih (2009) An empirical investigation of labor income processes, Review of Economic Dynamics
- Guvenen, Fatih, S Ozkan, J Song. (2012). The nature of countercyclical income risk
- Guvenen, Fatih, Karahan, S Ozkan, J Song (2014). What Do Data on Millions of US Workers Say About Labor Income Risk?
- Tauchen, George (1986); Finite State Markov Chain Approximations to Univariate and Vector Autoregressions, Economic Letters
- Kopecky, K. and R. Suen (2010); Finite State Markov Chain Approximations to Highly Persistent Processes
- Lkhagvasuren, Damba (2012). Key Moments in the Rowenhorst Method
- Civale et al. (2015). Discretizing a Process with Non-zero Skewness and High Kurtosis
Homework 2 (due next Thursday) Data are in the Google Drive folder September 17: Value Function Iteration+Discretization and LQI explained how to solve a DP problem with VFI by entirely discretizing the state space. Next, I explained the linear-quadratic approach, our first step towards local solution methods that we will discuss thoroughly next week. [For VFI, read chapter 4 in the HM book. For LQ read chapter 2 by Diaz-Jimenez in the MS book, and sections 2.2-2.3 in the HM book] - Greenwood-Hercowitz-Krusell: The role of investment-specific technological change in the business cycle (for homework)
Homework 3 (due next Thursday) September 24: Local ApproximationsI gave an overview of linearization methods and explained the method of undetermined coefficients. I then outlined how to write a Dynare code. Read HM chapter 2 and J section IV - Uhlig toolikit (paper and codes)
- Dynare download and user's guide
- Backus-Kehoe-Kydland (for homework)
Slides on linearization methods Homework 4 (Victoria will present) Read HM chapter 2 and J section IV - Schmitt-Grohe and Uribe on second-order perturbation methods
- KKMS on pruning and see analysis by Den Haan and De Wind
- Guerrieri-Iacoviello, OCCBIN
Slides on Perturbation methods
- Carroll, Chris (2006); "The Method of Endogenous Gridpoints for Solving Dynamic Stochastic Optimization Problems" You can find the codes here.
- Schumaker splines
October 15: Spectral MethodsWe
discussed spectral methods, Chebyshev polynomials and how to apply weighted residual methods with Chebyshev polynomials to the income fluctuation problem (including how to deal with constraints). Read Judd ch. 6, McGrattan's chapter in the Marimon-Scott book (ch. 6), HM chapter 11 Slides on Global methods (Part 2)- Rendhal and Christiano-Fischer (useful for homework)
Bonus material from last year (some of which can be useful for the homework): Slides on Computational basics and differentiation Slides on Root-finding methods Slides on Numerical Integration
- den Haan-Marcet
- Maliar-Maliar on the envelope method
- Badshad-Beaumont-Srivastava on the eigenvector method
- Krusell-Smith, Quantitative macroeconomics with heterogenous agents
- Algan, Allais-Den Haan-Rendhal, Handbook of Comp Econ chapter 6
- Special issue of the JEDC on solving this class of models
- Krueger-Mitman-Perri on Macroeconomic and Heterogeneity, Including Inequality
Homework 8 the last one!
- On EGM: Clausen-Strub (on necessity of FOCs in discrete choice problems), Fella (EGM applied to problems with discrete choices), White (EGM in multiple dimensions), Hintermaier-Koeniger (EGM with multiple constraints binding occasionally)
- Kaplan-Violante-Weidner on the measurement of wealthy hand-to-mouth, the model by Kaplan-Violante applied to the 2001 fiscal stimulus payment, and the comparison between 2001 and 2008
- For references, see day 4 of the enclosed syllabus
Slides on fiscal multipliers December 3-10: Continuous time tools to solve heterogeneous-agent models and HANKIn these two classes I presented some useful tools to solve continuous time versions of the income-fluctuation problem and of a Huggett economy. Classes were based on the material developed by Ben Moll. Then, I presented my paper with Kaplan and Moll on monetary policy in HANK (the paper is in the Google drive folder).Thanks for attending! |

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