Nonlinear methods for solving DSGE models

Guest Instructor: 
Julien Albertini
Time I: 
Tuesday, 10:00am
Venue I: 
HU Berlin, Spandauer Str. 1, Room 21b
Description: 

In the macroeconomic literature, models are characterized by non-linear dynamical features. The use of standard linear methods can no longer be appropriate to solve such general equilibrium macroeconomic models. The inaccuracy of standards methods can have non trivial consequences on models outcomes. We therefore need methods to solve such models. The aim of this course is to introduce the non-linear methods. This course attempts to provide theories and materials (Matlab codes) for solving DSGE models with nonlinear methods. A particular emphasis will be placed on projections methods which allows to deal with kink. Simulations and accuracy tests will be investigated.

Literature:

-Den Haan, W. and Marcet, A. (1990): “Solving the Stochastic Growth Modelby Parameterizing Expectations,” Journal of Business & Economic Statistics., Vol. 8. pp. 31-34.

-Den Haan,W. and Marcet, A. (1994): “Accuracy in simulations” Review of Economic Studies., Vol. 61(1). pp. 3-17.

-Judd, K. (1998): “Numerical methods in economics,” MIT press.

-Judd, K., Maliar L. and Maliar, S. (2011): “Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models” Journal of Business & Economic Statistics., Vol. 21(1), pp. 88-92.

-Heer, B. and Maussner, A. (1998): “Dynamic General Equilibrium Modelling: computational methods and applications,” Springer.

-Maliar L. and Maliar, S. (2003): “Parameterized Expectations Algorithm

Credits: 
3.00
Program: 
Semester: 
Fall 2014
Affiliation: 
Humboldt-Universität zu Berlin
End date of the whole course: 
Tuesday, December 16, 2014 - 10:00am