Michael Reiter: Computational Methods, Barcelona GSE, Spring 2019


Final Project

Information on Project

Readings :

Cooley and Prescott: Chapter 1

Exercise lists:

exercise list 1, due Feb. 7
exercise list 2, due Feb. 14
Solution files:
Dynare file for GHH model; lcindivlab.m: life cycle model with indivisible labor

exercise list 3, due Feb. 21

Handouts:

Class of February 3: basic RBC model
Class of February 5: Notes on Linearization Methods
Class of February 6: Notes on Dynamic Programming
Class of February 17: Notes on MP model

Programs used in class:

Class of February 4:
Dynare file for basic RBC model
Dynare file for RBC model with government expenditures

Class of February 5:
Dynare file for simple asset pricing equation

Class of February 6:
lifecycle.m: file to solve deterministic life cycle savings model
lcvec.m: same, with inner loop vectorized
lcstoch.m: stochastic version, labor productivity being a Markov chain

Class of February 7:
consinfin.m: file to solve infinite horizon savings model
consaccel.m: same model, with acceleration steps
Class of February 17:
Dynare file for basic Mortensen/Pissarides model
Matlab file for steady state of Mortensen/Pissarides model, parameter file
Dynare file for MP model with rigid wages

Class of February 18:
Matlab file for nonlinear solution of MP model
Matlab file for nonlinear solution of deterministic growth model

Class of February 19,
consinterp.m: consumption/saving model, solved with interpolation and continuous optimization
fininv.m , firm investment problem under financing frictions, solved by dynamic programming:

Class of February 20:
ha1.m: file to solve Aiyagari model; script file

Several Matlab routines, version of February 20 (for example HP filter, impulse responses for ds-solutions, etc.)

Library routines:

Matlab Documentation:

A Matlab tutorial

Getting started from the MathWorks home page (a more extensive tutorial)

Mathematics from the MathWorks home page

Matlab Programming from the MathWorks home page

More pdf documentation from the MathWorks home page

Documentation for Matlab optimization toolbox

Program libraries:

Compecon toolbox Miranda/Fackler, Compecon toolbox

Links for optimization software:

FAQ on optimization with many links

http://www.mathtools.net/ contains links for many kinds of software, you can click through to
http://www.mathtools.net/MATLAB/Optimization/index.html to find Matlab optimization software

Optimization centre, Northwestern University

Guide to optimization software and nonlinear equations software

Yet another guide to optimization and nonlinear equations software

Latest articles and links on optimization

Optimization package solnp

Books

Paolo Brandimarte: Numerical methods in finance and economics: a MATLAB-based introduction .

Mario J. Miranda & Paul L. Fackler: Applied Computational Economics and Finance,

Numerical Recipes in C, Online book

Kenneth L. Judd: Numerical Methods in Economics,