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Life-Cycle Heterogeneous Agents Models: Solution and Estimation (ECO-AD-HETAGT)


Department ECO
Course category ECO Advanced courses
Course type Course
Academic year 2023-2024
Term BLOCK 3
Credits 1 (EUI Economics Department)
Contact Simonsen, Sarah


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
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.

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Page last updated on 05 September 2023

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