Dates
05 - 09 August 2019

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

Location
LSE's Central London Campus

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.

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 05 August. The below schedule is subject to change.

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.

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

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

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 en suite rooms come with their own private toilet and shower, a single bed, wardrobe, bedside table, desk, chair and complimentary toiletries. Linen and towels are provided.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 £61.40 per room per night.

Carr Saunders

Carr Saunders is situated a ten minutes walk from Oxford Street, Close to Madame Tussauds and the British Museum. Perfect for a shopping trip or cultural city break. Journey time to LSE campus is approximately 28 minutes on foot, 12 minutes by bicycle, or 25 minutes by public transport. Carr-Saunders offers communal TV room with games. Each floor also provides a kitchen area with microwave, toaster and kettle.

The single standard room consists of one double bed, wardrobe, hand basin, desk, chair and complimentary toiletries. Linen and towels are provided. Showers and toilets are available on the same floor and are shared by approximately 12 rooms. Breakfast is included in the fees. 

Prices start from £55.00 per room per night.