Life-Cycle Heterogeneous Agents Models: Solution and Estimation (ECO-AD-HETAGT)
ECO-AD-HETAGT
Department |
ECO |
Course category |
ECO Advanced courses |
Course type |
Course |
Academic year |
2024-2025 |
Term |
BLOCK 2 |
Credits |
1 (EUI Economics Department) |
Professors |
|
Contact |
Simonsen, Sarah
|
Sessions |
11/11/2024 11:00-13:00 @ Seminar Room B, Villa la Fonte
15/11/2024 11:00-13:00 @ Seminar Room B, Villa la Fonte
18/11/2024 14:00-16:00 @ Seminar Room B, Villa la Fonte
22/11/2024 11:00-13:00 @ Seminar Room B, Villa la Fonte
25/11/2024 11:00-13:00 @ Seminar Room B, Villa la Fonte
28/11/2024 14:00-16:00 @ Seminar Room 3rd Floor,V. la Fonte
03/12/2024 11:00-13:00 @ Seminar Room 3rd Floor,V. la Fonte
05/12/2024 14:00-16:00 @ Seminar Room 3rd Floor,V. la Fonte
07/01/2025 11:00-13:00 @ Seminar Room 3rd Floor,V. la Fonte
09/01/2025 14:00-16:00 @ Seminar Room 3rd Floor,V. la Fonte
|
Enrollment info |
Contact [email protected] for enrolment details. |
Purpose
The course is designed to provide tools to students interested in quantitative macro / structural models.
Description
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.
Register for this course
Page last updated on 05 September 2023