Institution: Graduate School der Universität Hamburg
Dozent: Alexander Meyer-Gohde
Datum und Zeitplanung:
- Fr., 10.04.15, 09-17 Uhr
- Fr., 08.05.15, 09-17 Uhr
- Fr., 26.06.15, 09-17 Uhr
Ort: Universität Hamburg, Raum 1077 (VMP 5)
Beschreibung:
The course is based on techniques and applications and explores the importance of the labor market in macroeconomics using a variety of methodological tools. It is designed to develop and sharpen students’ prior knowledge dynamic macroeconomics and econometrics with a mixture of lectures on state-of-the-art solution and estimation techniques for macroeconomic models and application of the techniques to search theory with standard software packages and models from the literature.
Course Outline
- Introduction
| Concepts/techniques: | Data filtering, DSGE linearized difference equations |
| Main readings: | King and Rebelo (1993), Shimer (2005), Uhlig (1997) sec. 3 |
| Additional reading: | Hamilton (1994) ch. 1 |
- Baseline Search and Matching Model
| Concepts/techniques: | Intertemporal optimization, search and matching |
| Reading: | Merz (1995) |
- Root Finding Methods, Linear Solution Methods
| Concepts/techniques: | Bisection, Newton-based methods, eigenvalue methods |
| Reading: | Judd (1998) ch. 5, Uhlig (1997) sec. 6 and 7 |
| Additional readings: | Fernández-Villaverde (2010) sec. 4.1 |
- State Space and Likelihood Function
| Concepts/techniques: | Kalman filter, likelihood function |
| Main reading: | Fernández-Villaverde (2010) sec. 4.2 |
| Additional reading: | Hamilton (1994) ch. 13.2 and 13.4 |
- Estimation Methods and Model Analysis
| Concepts/techniques: | Maximum likelihood, Bayesian methods, Markov Chain Monte Carlo, Diagnostics, Model Comparison |
| Main reading: | Fernández-Villaverde (2010) sec. 4 and 5 |
| Additional reading: | An and Schorfheide (2007) sec. 3 and 4 |
- Nonlinear Methods
| Concepts/techniques: | Perturbation, Particle Filter |
| Main reading: | Fernández-Villaverde (2010) sec. 4.2.2 and An and Schorfheide (2007) sec. 6 |
| Additional reading: | Lan and Meyer-Gohde (2013), Schmitt-Grohé and Uribe (2004) |
Anmeldung:
Anmeldungen sind ab sofort bis zum 19.03.2015 über Geventis https://www.geventis.uni-hamburg.de möglich.