Programmes

Tools for Macroeconomists: The Essentials

  • Summer schools
  • Department of Economics
  • Application code ME421
  • Starting 2018
  • Short course: Open
  • Location: London

This is a hands-on graduate-level course teaching key techniques to analyse and estimate macroeconomics models. It teaches the key building blocks of numerical analysis such as function approximation and numerical integration.

The course shows how these techniques are used in perturbation and projection methods to accurately solve nonlinear dynamic stochastic models. Relevant theoretical aspects such as the Blanchard-Kahn conditions and the possibility of sunspots solutions are also covered. The course also teaches the tools to estimate such models (Kalman filter, Bayesian estimation, MCMC).

Participants are taught how to use Dynare, but also how to write Matlab programs to solve a variety of models with other techniques. In addition to teaching techniques, the course also focuses on practical problems that researchers run into when using these techniques.

The course is aimed at PhD students and academics.


Dates
20 - 24 August 2018

Teaching faculty
Professor Wouter den Haan, Department of Economics
Dr Petr SedlacekUniversity of Oxford

2018 Tuition fees
Student rate: £725
Academic staff/charity rate: £1,500
Professional rate: £2,300

*Current PhD students are also eligible for a £150 ESRC scholarship.

Terms and Conditions for the Tools for Macroeconomists Programme

Programme details

Key facts

Dates
20 - 24 August 2018

Format
Lectures (15 hours)
Practical classes (15 hours)

Location
LSE's Central London Campus

 

Prerequisites

Participants are expected to be fluent in English and with good results in relevant studies. Please see the course specific prerequisites below:

Basic knowledge of DSGE models, and in particular, concepts such as Euler equations, state variables, and the Bellman equation.
Some knowledge of Matlab. Students with a rudimentary knowledge of Matlab may still take the course, but may not attain the full benefits of the afternoon computer assignments.

Course outline

The course teaches the key building blocks of numerical analysis such as function approximation and numerical integration. The course shows how these building blocks are used in perturbation and projection methods to accurately solve nonlinear dynamic stochastic models. Relevant theoretical aspects such as the Blanchard-Kahn conditions and the possibility of sun spots solutions are also covered. The course also teaches the tools to estimate such models with Bayesian estimation techniques.

In the morning sessions, a lecture is given by one of the two instructors. In the afternoon sessions, students work in groups on computer assignments with the help of the instructors and teaching assistants.

Monday - Solving and analysing your first DSGE model

  • State variables
  • Policy rules (i.e. the recursive solution to DSGE models)
  • Impulse response functions
  • Perturbation analysis
  • Certainty equivalence
  • Dynare
  • Using the homotophy idea to get good initial values for the steady state (often the hardest part of running Dynare)
  • Parameter values and properties of basic neoclassical model
  • Stylised facts

Tuesday - Key tools from the numerical approximation literature and projection methods

  • Numerical integration (Gaussian quadrature)
  • Function approximation (Splines & Polynomials)
  • Projection methods
  • Endogenous grid points
  • Fixed point iteration
  • Time iteration

Wednesday - Topics

  • Parameterized Expectations Algorithm
  • Value Function Iteration
  • Accuracy tests: Euler errors, Dynamic Euler equation test, DHM statistic
  • Occasionally binding constraints and penalty functions
  • Blanchard-Kahn conditions
  • Sunspots and self-fulfilling expectations

Thursday - Kalman filter and full information methods

  • Kalman filter
  • State space form
  • Maximum Likelihood
  • Avoiding the singularity problem

Friday - Bayesian estimation

  • Bayesian estimation
  • MCMC
  • Metropolis Hastings

Software used
Dynare and MATLAB

Schedule

Please note: A full timetable will be provided at registration on Monday 20 August. The below schedule is subject to change.

 

 Morning lecture

 Afternoon class

Mon

 3 hours

3 hours

Tues

3 hours

3 hours

Weds

 3 hours

3 hours

Thurs

3 hours

3 hours

Fri

3 hours

3 hours



Course benefits

This course will provide students with:

  • a chance to learn a solid set of different tools to analyse and estimate modern macroeconomic models
  • a better understanding of the properties of modern macroeconomic models
  • a better understanding of the importance of nonlinearities
  • a better understanding of the limitations of popular techniques

Faculty

Professor Wouter den HaanDepartment of Economics
Dr Petr Sedlacek,
 University of Bonn

Testimonials

The course has tremendously increased my skill, particularly the computer exercise. Having a direct practical experience is an amazing opportunity.
2016 Participant

Fantastic learning experience
2016 Participant

Challenging course material, which is intensive for two weeks of training. Worthy for any serious macroeconomist and the earlier the better.
2016 Participant on ME421 & ME422

Very well paced course with just enough complexity to challenge but not too much to overwhelm you. Great cohesion between professors and teachers. Very knowledgeable and helpful class teachers. More than enough material to go back to and digest once the two weeks are over. Highly recommend to take both the ME421 and the ME422 in the same session.
2016 Participant on ME421 & ME422

This course was impressive. Incredibly demanding but the exercise units made the abstract concepts mesh in practice and allowed us to experience parts of the implementation first hand. 
2015 Participant

An all-around outstanding learning experience!
2014 Participant

I thought Petr and Wouter were amazing at simplifying difficult concepts and boiling it down to the core.
2014 Participant

Excellent. The instructor introduces several frontier fields of research.
2011 Participant

The course sets the right focus, and is very well organized and structured. The professor is an excellent teacher and highly committed.
2011 Participant

Accommodation

A limited number of rooms are available at two LSE halls of residence.

All rooms are subject to availability and are not guaranteed, so early bookings are strongly advised.

Information on how to book rooms at the special rates below will be sent to applicants once they have been made an offer of a place on the programme.

Bankside House

Bankside House is located in the historic borough of Southwark on the Thames’ South Bank. Journey time to LSE campus is approximately 28 minutes on foot, 12 minutes by bicycle, or 25 minutes by public transport.

The residence is the largest LSE hall. Single rooms share toilet and shower facilities (one between two rooms), and single en suite rooms come with their own private toilet and shower. The extensive lower ground floor houses a quiet study area, an IT room, and a bar. Breakfast is included in the fees. 

Prices start from £58.40 per room per night.

High Holborn

High Holborn is situated ten minutes walk away from LSE campus, near the fashionable areas of Covent Garden and Soho. The main shopping district of Oxford Street is moments away, as are many of the capital’s major landmarks.

The residence offers single rooms with shared facilities. Rooms are grouped in cluster flats for four to six people, sharing a kitchen and bathroom facilities. There are also a number of en suite bedrooms. The residence also offers a large communal lounge, a pool table and a computer room. Continental breakfast is included in the fees.  

Prices start from £53.60 per room per night.

Apply Now

Contact us

Contact us

  • If you have any questions about the Tools for Macroeconomists courses, please complete the following form and we will respond as soon as possible.
  • Name
  • Are you currently studying?
Bad Request

Bad Request


HTTP Error 400. The request is badly formed.

Request a prospectus

  • Name
  • Address

Register your interest

  • Name

Speak to Admissions

Content to be supplied