Life-Cycle Heterogeneous Agents Models: Solution and Estimation (ECO-AD-HETAGT)
||ECO Advanced courses
||1 (EUI Economics Department)
The course is designed to provide tools to students interested in quantitative macro / structural models.
Description: It is divided into three parts. In the first part, I introduce students to life-cycle heterogeneous agents models in general equilibrium. The students are given a set of instructions to solve the Huggett (1996). In the second part, I cover a set of numerical methods for solving dynamic programming: state-space methods, projection methods, and numerical integration. In the third block, I revise econometric tools for the estimation of structural models using moment matching. I cover the method of moments, the generalized method of moments, and the simulated
Register for this course
method of moments. I derive the asymptotic properties of the estimators and how to compute standard errors in finite samples. Finally, I bring together the theory and the metrics part of the course by estimating preference parameters in a life-cycle model using panel data.
Requirements: This is a computer intensive course. Students are expected to in-vest in learning/developing their computing skills. Every week students are given computer assignments to check their understanding of the material covered in class. On top, students will present a paper of their choice that needs to be discussed with the instructor in advance.
Evaluation: 2/3 computer assignments + 1/3 presentation.
Page last updated on 05 September 2023