This graduate-level course teaches state-of-the-art techniques to solve and analyse advanced models. In particular, models with heterogeneous agents, models with boundedly-rational agents, and/or learning and also models in which the economy can be at the zero lower bound for the policy interest rate. The course also teaches advanced time-series techniques such as Bayesian VARs with constant and time-varying parameters.In addition to teaching techniques, the course also focuses on practical problems that researchers run into when using these methods. The first two days are spent on algorithms to solve models with heterogeneous agents and also on models with boundedly rational agents. The next two days are 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. The last day is spent on advanced time-series techniques such as Bayesian VARs with time-varying parameters. 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. Monday and Tuesday - 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 agentsWednesday & Thursday - Solving continuous-time models and models with occasionally binding constraints- Continuous-time models- Models in which the policy rate can be at the zero lower boundFriday - Time-varying VARs- Reduced-form and structural VARs- Sign restrictions- Time-varying VARs

Course leader
Professor Wouter den Haan (LSE)Dr Pontus Rendahl (Cambridge)

Target group
The course is aimed at PhD students and academics.

Course aim
This course aims to provide students with:- a chance to learn a solid set of advanced tools to analyse non-trivial modern macroeconomic models;- a better understanding of models with heterogeneous agents;- an understanding of VARs and in particular VARS with time-varying coefficients.

Fee info
GBP 725: Student rate - available to current university (including PhD) students. Academic staff and staff of UK charities are eligible for a reduced rate of 1,500. GBP 2300: Standard rate

Scholarships
Current PhD students are also eligible for a 150 ESRC scholarship.

London School of Economics
Address: Houghton Street
Postal code: WC2A 2AE
City: London
Country: United Kingdom
Website: http://www.lse.ac.uk/study/summerSchools/Methods/home.aspx
E-mail: summer.methods@lse.ac.uk
Phone: +44 (0)20 7955 6422