61348 - New Macroeconometric models
Optional
4.3.Syllabus
The course will address the following topics:
Topic 1. Presentation
1.1. DSGE models, calibration and estimation
1.2. Dynare and Octave
Topic 2. Solution of stacionary DSGE models
2.1. A fundamental distintion: determinist and stochastic models
2.2. Introduction of an example
2.3. The structure of a .mod file in Dynare
2.4. Preamble
2.5. Model specification
2.6. Steady estate and/or initial values
2.7. The inclusion of shocks
2.8. The selected computation
2.9. The complete file
Topic 3. Estimation of stationary DSGE models
3.1. Introduction of an example
3.2. Declaration of variables and parameters
3.3. Model declaration
3.4. Declaration of observed variables
3.5. Steady estate
3.6. Declaration of a priori distributions
3.7. Launching the estimation
3.8. The complete .mod file
3.9. Interpreting the output
Topic 4. Solution of non-stationary DSGE models
4.1. The characteristics of a non-stationary model
4.2. Introduction of an example
4.3. Declaration of variables and parameters
4.4. The origin of the non-stationarity
4.5. Transforming the non-stationary variables to stationary ones
4.6. Preamble
4.7. Model specification
4.8. Steady estate and/or initial values
4.9. The inclusion of shocks
4.10. The selected computation
4.11. The complete .mod file
Topic 5. Estimation of non-stationary DSGE models
5.1. The link between the stationary variables and the data
5.2. The block of the resulting model in the .mod file
5.3. Declaration of observed variables
5.4. Declaration of trends in the observed variables
5.5. Steady estate
5.6. Declaration of a priori distributions
5.7. Launching the estimation
5.8. The complete .mod file
5.9. Summing-up