Term: Spring 2010
Course Number: ECON 2713
Time: Tuesday & Thursday 11:00 AM – 12:15 PM
Room: 4716 WWPH
Instructor: Dr. David DeJong
Description: The focus of the course is on the empirical implementation of dynamic stochastic general equilibrium (DSGE) models. The course is organized around the following empirical exercise. Beginning with a model environment, a non-linear expectational system of difference equations is derived using Bellman’s Principle of Optimality. The system is then approximated (using linear and non-linear representations), taking the form of a state-space representation. Appropriate data are then identified and aligned with their theoretical counterparts (often by removing trends and isolating cycles). Finally, the likelihood function associated with the state-space representation is evaluated using a filtering procedure.
The course will be designed to get you actively involved in executing all phases of this process. By the time it is completed you will be tooled-up and prepared to engage in significant research projects in this active area of frontier research.
Syllabus: Click here.
Course Website: Click here.