Structural Macroeconometrics

The Department of Economics at the Universidad Torcuato Di Tella (UTDT) offers a practical course in Structural Macroeconometrics designed for policy makers and professionals with advanced degrees in economics. Participants from central banks, international financial institutions and other institutions are encouraged to apply.

There is no application deadline, but early application is recommended.

The outline of the course is:

Structural Macroeconometrics
November 16 to 20, 2010

Professor: David N. DeJong
Chair, Department of Economics, University of Pittsburgh
[Course Fee: Dollars 3,000]
[Accommodation arranged by each participant]

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.

Specific topics to be covered include:

Linear Model Approximation Techniques
Non-Linear Model Approximation: Projection and Perturbation Methods
State-Space Representations
Numerical Integration Techniques
The Kalman Filter
The Particle Filter
Efficient Importance Sampling (EIS) and the EIS Filter

Presentation of topics will be heavily oriented towards examples, and computer codes useful for implementation will be discussed and shared.

Structural Macroeconometrics Website:
http://www.pitt.edu/~dejong/ECON2713.htm

For more information please email to: posgradosditella@utdt.edu

Online registration