ADVANCED TOPICS IN APPLIED MACROECONOMICS II

ECONOMICS 916
ADVANCED TOPICS IN APPLIED MACROECONOMICS II
Computational Methods

Introduce basic numerical algorithms required by modern quantitative dynamic models.
Introduce programming techniques that help ensure accurate code development over projects and revisions
Cover specific topics of interest to students

All students registered for credit or sitting in will do the programming assignments in the first part of the course.
[HW 1.0] [HW 2.0]
All students will do a presentation of their own work or a paper in the literature focussing on solution techniques
Students registered for credit will complete a project. The project is somewhat flexible and open to mutual agreement. The default is to replicate computational results of a (fairly) sophisticated paper. The replication should require original coding on your part, although this is satisfied by adopting available code by either translating to another language and/or implementing it in parallel.
All projects are to be agreed upon in advance with the instructor. The student presentation can simply describe the project, but it also can be about an unrelated paper or idea that is relevant to course.

SOFTWARE
- Ox (An Object-Oriented Matrix Language) by J.A. Doornik. Ox is free for non-commercial use and comes complete with documentation, code examples, and many packages of use in economics. One can purchase the professional version for Windows that provides a editing and debugging interface and allows graphs to be viewed directly (as opposed to saved as Postscript files). Version 4 is installed in Dunning 350 and the qed servers. It is also installed on HPCVL with access to MPI.
  Use of Ox for the course is strongly recommended. Support will be given if you use C or C++, but packages to carry out the results are not supported. A student wishing to use another interpreted mathematical language (i.e. Matlab) should expect to do at least one assignment in both Ox and the alternative in order to study the tradeoffs between them.
BOOKS AND WEB RESOURCES

Tony Smith’s Computational Course at Yale
Dynamic Economics, by Jérôme Adda and Russell Cooper. [Suggested]
Computational Methods for the Study of Dynamic Economies, Marimon, Ramon and Andrew Scott (eds.). Full text available on-campus.
Numerical Methods in Economics, by Kenneth L. Judd . [Recommended]
Numerical Recipies - Books on Line. The text is available for free on-line. The treatments of algorithms is lucid and more accessible than Judd. [Recommended]
The Research Agenda: Jesús Fernández-Villaverde and Juan F. Rubio-Ramírez on Estimating DSGE Models, Economic Dynamics Newsletter, Volume 8, Issue 1, November 2006.
Notes & supplementary material: will be available here

Ferrall, C. Solving Finite Mixture Models: Efficient Computation in Economics under Serial and Parallel Execution, Computational Economics, 25, 4 (June), 343-379, 2005
Gourinchas, P-O and J. A. Parker (2002) "Consumption over the Life Cycle," Econometrica, 70,1, 47-89.
Krusell, P. and A.A. Smith, Jr. (1998), Income and Wealth Heterogeneity in the Macroeconomy, Journal of Political Economy 106, 867–896.
Lee, Donghoon 2005. "An Estimable Dynamic General Equilibrium Model of Work, Schooling and Occupational Choice," IER, 46, February, 1-34, Blackwell Access.
Rust, J., J. F. Traub and H. Wozniakowski Is There a Curse of Dimensionality for Contraction Fixed Points in the Worst Case?, Econometrica 2002.
Rust, J. Using Randomization to Break the Curse of Dimensionality, Econometrica 1997.

An Extended Introduction: An Ox Class for a Cobb-Douglas Agent [Doornik]
Numerical Functions and Derivatives [Judd: 1.6, 2.1, 2.5-2.8, 7.1-7.2, 7.7, 8.1-8.2. NR 5-7 ]
Non-linear Systems[Judd: ; NR 9-*
Optimization [Judd: 4.1-4.7g; NR 10-*]
Numerical Integration and Simulation
Equilibrium and/or Dynamics [Krusell and Smith; Adda and Cooper; Marimom and Scott; Lee; Lee and Wolpin]
Cost of Computation: Serial and Parallel Execution [Ferrall; Rust et. al; Doornik]