Wouter J. den Haan - LSE Macroeconomics Summer Courses
Macroeconomics Summer Courses - August 2017
Tools to work with modern macro models
The two courses:
The essentials; Solving and estimating DSGE models: August 14-18
This graduate-level course teaches the key building blocks of numerical analysis such as function approximation and numerical integration. The course shows how these techniques are used in perturbation and projection methods to accurately solve nonlinear dynamic stochastic models. Relevant theoretical aspects such as the Blanchard-Kahn conditions and the possibility of sun spots solutions are also covered. The course also teaches the tools to estimate such models (Kalman filter, Bayesian estimation, MCMC). Students are taught how to use Dynare, but also how to write Matlab programs to solve a variety of models with other techniques. In addition to teaching techniques such as projection methods (policy function iteration) and parameterized expectations, the course also focuses on practical problems that researchers run into when using these techniques.This course is aimed at graduate students and academics.
- Advanced tools: August 21-25 This graduate-level course teaches state-of-the art techniques to solve and analyse advanced models. In particular, models with heterogeneous agents, continuous time models, and models with occasionally binding constraints, in particular models in which the economy can be at the zero lower bound for the policy interest rate. In addition to teaching techniques, the course also focuses on practical problems that researchers run into when using these methods. This course is aimed at graduate students and academics.
Detailed course content:
- Wouter J. den Haan, main instructor for week 1 & 2
- Petr Sedlacek, two days for week 1
- Pontus Rendahl, two days for week 2
Evaluations of previous summer courses:
- Part I (August 2010): 4.95 (out of 5)
- Part I (August 2010): 4.89 (out of 5)
- Part II (August 2010): 4.89 (out of 5)
- Part I (August 2011) recommendation rate: 100%
- Part II (August 2011) recommendation rate: 100%
- Part I (August 2014) recommendation rate: 100%
- Part II (August 2014) recommendation rate: 100%
- Detailed comments can be found here, here, and here.
Key elements of each course:
- Each morning: 3 hour lecture
- Each afternoon: computational assignments solved in groups with assistance provided by instructor and teaching assistants
- Not a focus on one technique, but discussion of state of the art available alternatives
- Focus on accuracy - making sure that what you get makes sense
- Not just computational techniques; also links to economic problems
- Focus on understanding the techniques, not on simply running programs and generating output
- Lecture notes and programs with which you can do the assignments and improve your skills after the course has ended
- Wouter den Haan, the main instructor, has taught at Carnegie Mellon University, University of California at San Diego, Wharton School of the University of Pennsylvania, London Business School, London School of Economics, Stockholm School of Economics, Mannheim University, CREST-ENSAE, Universitat Pompeu Fabra, Koc University, Bank of Portugal, Riksbank in Stockholm, and the European Central Bank.