Programmes

Tools for Macroeconomists: Advanced Tools

  • Summer schools
  • Department of Economics
  • Application code ME422
  • Starting 2018

 

This graduate-level course teaches state-of-the-art techniques to solve and analyse advanced models. In particular, models with heterogeneous agents, continuous-time models, and also models in which the economy can be at the zero lower bound for the policy rate.  

In addition to teaching techniques, the course also focuses on practical problems that researchers run into when using these methods. 

This course is aimed at PhD students and academics.


Dates
27 - 31 August 2018

Teaching faculty
Professor Wouter den Haan, Department of Economics
Dr Pontus Rendahl, University of Cambridge

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
27 - 31 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:

Knowledge of DSGE models (e.g. Euler equation, state variables, 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.
Some knowledge on solving simple DSGE models with perturbation methods (Dynare) and projection methods.

Course outline

An important part of the course is spent on algorithms to solve models with heterogeneous agents and also on models with boundedly rational agents. The other part of the course is spent on solving continuous-time models and models with occasionally binding constraints; in particular, models in which the policy interest rate is occasionally constrained by the zero lower bound. 

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

Solving and simulating models with heterogeneous agents

  • Aggregation
  • Approximate aggregation
  • Cross-sectional distributions as state variables
  • Incomplete markets
  • Aiyagari model
  • Solving the Aiyagari model using iterative methods
  • Krusell & Smith algorithm to solve models with heterogeneous agents and aggregate uncertainty
  • Xpa algorithm to solve models with heterogeneous agents and aggregate uncertainty
  • Calculating the ergodic distribution of the Aiyagari model in one step
  • Boundedly rational agents

Solving continuous-time models

  • Continuous-time models for models with a representative agent and heterogeneous agents

Models with occasionally binding constraints

  • Models in which the policy rate can be at the zero lower bound

Software used
Dynare and MATLAB

Schedule

Please note: A full timetable will be provided at registration on Monday 27 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 provides participants with introductions to:

  • modern statistical methodology for analysing multivariate continuous and categorical data
  • the use of latent variables for measuring unobserved constructs such as attitudes, beliefs, health state, etc. through observed indicators.

It will also provide participants with experience in:

  • the use of path models to represent complex relationships among latent and unobserved variables
  • modelling relationships among latent constructs and observed covariates and providing the ability to measure direct and indirect (mediation) effects
  • modelling cross-sectional data including (as special topics) the treatment of longitudinal data and multi-group data such as cross-national data
  • the use of STATA and MPlus software to run real data examples. Participants will have the opportunity to run the analysis and interpret the output.

Faculty

Professor Wouter den HaanDepartment of Economics
Dr Pontus RendahlUniversity of Cambridge

Testimonials

Great course! I am very happy I went, I learnt a lot. Wouter and Pontus did a great job at covering SO much material in a way one could follow!
2016 Participant

Excellent programme, great value (about two semesters worth of material). Practical exercises were very good, teaching was on current developments and not stale.
2016 Participant on ME421 & ME422

One of the best learning experiences I have ever had
2016 Participant on ME421 & ME422

Wouter is an excellent and approachable lecturer.  All staff are excellent teachers and deliver high quality teaching. This is an excellent Programme.
2016 Participant on ME421 & ME422

The lectures were excellent, and the exercises fit extremely well with them.
2015 Participant

Professor den Haan is an outstanding teacher and mentor. He provided a tremendous amount of insight not just into the material but also spoke about aspects of research methodology, providing guidance about the kind of questions a researcher should ask, with an emphasis on selecting not the most complex and awe-inspiring, but rather the most appropriate techniques, while simultaneously emphasising that not just awareness but also deep knowledge of rival techniques is necessary.
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.

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