Contact: socampod@uwo.ca
This repository contains the material for the advanced macroeconomics course at Western University.
This is a second year PhD course focused on computational tools for quantitative Macroeconomics.
The course syllabus is located in the main folder.
The lecture handouts are located in the "Slides" folder.
Accompanying code is located in the "Julia_Code" folder and its subfolders. All code is in Julia and runs in version 1.5.1.
Problem sets and other assignments are located in the "Problem_Sets" folder.
- Course overview and best practices Slides//Problem Set
- Problem set on dynamic programming with the neoclassical growth model
- Value function iteration Slides//Problem Set
- Grid search algorithm
- Howard's policy iteration
- MacQueen-Porteus bounds
- Problem set on coding VFI for the neoclassical growth model
- Interpolation Slides//Problem Set
- Polynomial interpolation
- Spline interpolation (linear, cubic and shape preserving splines)
- Curved grids
- Problem set with applications of interpolation methods
- Optimization Slides//Problem Set
- Local optimizers
- Global optimizers
- Sobol numbers
- Root finding
- VFI with continuous choice variables and continuous states
- Integration Slides//Problem Set
- Monte Carlo Integration (just the concept)
- Gaussian quadrature methods
- Discretizing stochastic processes
- Tauchen (1986)
- Tauchen & Hussey (1991)
- Rouwenhorst (1995)
- Gaussian mixtures (the basics)
- Extensions (Galindev & Lkhagvasuren, 2010; Fella, Gallipoli & Pan, 2019)
- The Endogenous Grid Method (EGM) Slides//Problem Set
- Basic EGM: Carroll (2006)
- EGM with labor supply: Barillas & Fernandez-Villaverde (2007)
- EGM for non-smooth, non-concave problems: Fella (2014)
- Envelope condition method (ECM): Maliar & Maliar (2013)
- Recursive Competitive Equilibria (RCE) Slides//Problem Set
- Decentralized solution to NGM
- Definition of RCE
- Applications to economies with distortions (taxes/wedges)
- Overview of Chari, Kehoe & McGrattan (2007)
- Overview of Arellano (2008)
- Heterogeneous Agent Models (RCE) Slides//Problem Set
- Hugget (1993)
- Aiyagari (1994)
- OLG - Aiyagari
- Histogram method of Young (2010)
- Fast Kernel method of Tan (2020)
- Computational methods for continuous time models
- Heterogeneous Agent Continuous Time model
- Finite Difference Method
- We will follow Ben Moll's lecture notes Slides 1//Slides 2//Paper//Other resources
- Markov Chain Approximation Method
- Search models I Slides//Problem Set
- Basic McCall (1970) model
- Extensions to job separations, on the job search, human capital, savings
- Search models II Slides//Problem Set
- Basic DMP model
- Shimer (2005), overview of main results
- How to solve the DMP model
- How to simulate models in continuous time with Poisson shocks