Computational Economics

Avisos

20/10/2024: Lista 4 atualizada.

Material

Syllabus

This course is built on Cezar's course.

Bibliography

Adda, J.; Cooper, R.W. (2003) Dynamic Economics: Quantitative Methods & Applications. MIT Press.

Judd, K.L. (1998) Numerical Methods in Economics, MIT Press.

Miranda, M.M. & Fackler, P.L. (2004) Applied Computational Economics and Finance, MIT Press.

Stokey, N.L.; Lucas, R.E., JR.; Prescott, E.C. (1989) Recursive Methods in Economic Dynamics. Cambridge, MA: Harvard University Press.

Lectures

1 - Course outline and Introduction to MATLAB

• Video

• Notes

• Intro to Matlab: Code

• An important alternative to MATLAB is Octave (I thank Matheus for pointing that out). It is free and uses the same programming language, but some (most?) of the built-in functions are not available.

2 - Introduction to MATLAB and Discretization of autoregressive processes

• Video

• Notes

• Code

• Readings: 

  • Tauchen, G. (1986). Finite state markov-chain approximations to univariate and vector autoregressions. Economics Letters, 20(2), 177-181.

  • Kopecky, K. A., & Suen, R. M. (2010). Finite state Markov-chain approximations to highly persistent processes. Review of Economic Dynamics, 13(3), 701-714.

3 - Problem set #1

• No reports

4 - VFI I

• Video

• Notes

• Code 1 - Vectorizing a non-stochastic NCGM

• Code 2 - NCGM with multigrid method

• Readings: Miranda & Fackler (2004) - Caps. 7, 8, and 9. Adda and Cooper (2003) - Caps. 3 and 5.

5 - Problem set #2

6 - VFI II

• Video

• Notes

• Code - EGM

• Readings: 

  • Carroll, C. D. (2006). The method of endogenous gridpoints for solving dynamic stochastic optimization problems. Economics Letters, 91(3), 312-320.

  • Miranda & Fackler (2004) - Caps. 7, 8, and 9. Adda and Cooper (2003) - Caps. 3 and 5.

7 - Problem set #3 + Search I

• Video

• Notes

• Code

• Readings: 

  • Ljungqvist & Sargent, T. J. RMT - Cap. 6 (Labor search).

  • McCall, J. J. (1970). Economics of information and job search. The Quarterly Journal of Economics, 113-126.

8 - Computing equilibria with heterogeneous agents - idiosyncratic risk

• Video

• Notes

• Readings: 

  • İmrohoroğlu, A. (1992). The welfare cost of inflation under imperfect insurance. Journal of Economic Dynamics and Control, 16(1), 79-91.

  • Huggett, M. (1993). The risk-free rate in heterogeneous-agent incomplete-insurance economies. Journal of Economic Dynamics and Control, 17(5-6), 953-969.

  • Aiyagari, S. R. (1994). Uninsured idiosyncratic risk and aggregate saving. The Quarterly Journal of Economics, 109(3), 659-684.

9 - Computing equilibria with heterogeneous agents - Aggregate risk  & Calibration

• Video

• Notes I  Notes II

• Readings:

  • Krusell, P., & Smith, Jr, A. A. (1998). Income and wealth heterogeneity in the macroeconomy. Journal of Political Economy, 106(5), 867-896.

  • Gomme, P., & Lkhagvasuren, D. (2013). Calibration and simulation of DSGE models. In Handbook of Research Methods and Applications in Empirical Macroeconomics (pp. 575-592). Edward Elgar Publishing.

  • Barros Jr, F. , Castilho, R., & Galveas, D. (2021). On the Regulation of Checked Baggage in the Airline Industry, International Economic Journal, 35:3, 344-366, DOI: 10.1080/10168737.2021.1962949

  • Cocci, M. D., & Plagborg-Møller, M. (2024). Standard errors for calibrated parameters. Review of Economic Studies.

  • Gueorgui Kambourov, Labour Market Regulations and the Sectoral Reallocation of Workers: The Case of Trade Reforms, The Review of Economic Studies, Volume 76, Issue 4, October 2009, Pages 1321–1358, https://doi.org/10.1111/j.1467-937X.2009.00552.x

• Presentation:

  • Bilal, A. (2023). Solving heterogeneous agent models with the master equation (No. w31103). National Bureau of Economic Research.

10 - Problem set #4

• No files to report.

11 - Structural Estimation: SMM and Indirect Inference

• Video

• Slides

• Code: NKPC, Solow

• Readings: lots of interesting things here.

• Presentation:

  • Janssens, Eva. (2023). Micro Shocks and Macro Blocks: Two-step Estimation of Heterogeneous Agent Models.

12 - Heterogeneous agents with continuous time I

• Video

• Readings: Achdou, Y., Han, J., Lasry, J. M., Lions, P. L., & Moll, B. (forthcoming). Income and wealth distribution in macroeconomics: a continuous-time approach. Review of Economic Studies.

13 - Heterogeneous agents with continuous time II

• Video

• Notes

• Code

• Readings: Achdou, Y., Han, J., Lasry, J. M., Lions, P. L., & Moll, B. (forthcoming). Income and wealth distribution in macroeconomics: a continuous-time approach. Review of Economic Studies.

• Presentation: 

  • Rendahl, P. (2022). Continuous vs. discrete time: Some computational insights. Journal of Economic Dynamics and Control, 144, 104522.

14 - Problema set #5 + ...

• Video

• Notes

• Code

• Readings:

15 - Project Development

Problem sets

Practice of Matlab: here

Problem set #1

• Problem set

• Students presentation:

  1. • 1.a and 1.b: Yuri 

     • 1.c: Guilherme

     • 1.d: Luiz

     • 1.e: Rafaela

     • 1.f: Rafael

     • 1.g: Cézio

     • 2: Paulo

• Data: Brazilian inflation

Problem set #2

• Problem set

• Students presentation:

  1. • 1.c: Yuri

     • 1.d: Paulo

     • 1.e: Rafael

     • 1.f: Rafaela

     • 1.g: Guilherme

     • 1.h: Luiz

     • 1.h: Cézio

Problem set #3

• Problem set

• Students presentation:

  1. • 1: Cézio

     • 2.b: Guilherme e Paulo

     • 2.c: Rafaela

     • 2.d: Yuri

     • 3: Luiz e Rafael

Problem set #4

• Problem set

• Students presentation:

  1. • 1: Rafael

     • 2: Yuri

     • 3: Guilherme

     • 4: Paulo

     • 5: Luiz

     • 6: Césio e Rafaela

Problem set #5

• Problem set (old)

• Problem set (new)

Presentations

Machine learning - Nov 12

Zhigang Feng - Book

• Guilherme - Cap. 5

• Yuri - Cap. 6

• Rafaela - Cap. 7

Dynare - Nov 13

Willi Mutschler - Course

• Rafael - Solution and simulation methods & RBC model 

• Luiz - RBC model 

• Paulo - RBC model

• Cézio - RBC model