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 |
2023-2024 |
| Term |
BLOCK 3 |
| Credits |
1 (EUI Economics Department) |
| Professors |
|
| Contact |
Simonsen, Sarah
|
| Sessions |
29/01/2024 13:00-15:00 @ Seminar Room 3rd Floor,V. la Fonte
05/02/2024 13:00-15:00 @ Seminar Room 3rd Floor,V. la Fonte
08/02/2024 15:00-17:00 @ Seminar Room 3rd Floor,V. la Fonte
12/02/2024 13:00-15:00 @ Seminar Room 3rd Floor,V. la Fonte
15/02/2024 15:00-17:00 @ Seminar Room 3rd Floor,V. la Fonte
19/02/2024 13:00-15:00 @ Seminar Room 3rd Floor,V. la Fonte
22/02/2024 15:00-17:00 @ Seminar Room 3rd Floor,V. la Fonte
26/02/2024 13:00-15:00 @ Seminar Room 3rd Floor,V. la Fonte
29/02/2024 15:00-17:00 @ Seminar Room 3rd Floor,V. la Fonte
07/03/2024 9:00-11:30 @ Seminar Room B, Villa la Fonte
|
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