Quantitative Methods in Macroeconomics

PhD Course, Fall 2005
Martin Flodén, martin.floden@hhs.se
Conny Olovsson, conny.olovsson@hhs.se

Schedule
Syllabus

News

• Here is a reference to shape preserving piecewise cubic splines: A book by Cleve Moler, see in particular chapter 3 about interpolation, sections 3.3-3.4. You will also find much other useful material in that book.
• The final class will be on Tuesday October 18, and the final assignment will be due on Monday, October 17.
• Assignment 5 is due on Wednesday, October 12.
• When handing in solutions to the assignments, please give us
  • one document summarizing all answers
  • one document with all code (so that we easily can print it)
  • executable code (one or several .m files)

Links

• You should download and install the CompEcon Toolbox that accompanies Miranda and Fackler's book.
• If you want to read more about numerical methods, and in particular if you need algorithms to implement some method, you will find much useful material in the Numerical Recipes books.

Lecture Notes

Lecture Notes 1
Lecture Notes 2
Lecture Notes 4
Lecture Notes 5
Lecture Notes 6
Lecture Notes 7

Example Code

Example 1: Code developed in class to solve nonlinear equation in example economy without uncertainty. Bisection method.
findsolution.m
f.m

Example 2: Code to solve deterministic growth model after permanent productivity shock as in lecture notes 2.
transition.m
eval_foc.m

Example 3: Shell for Assignment 3a.
shellolg.m
shellequations.m

Example 4: Solving RBC model with QL method as in lecture notes 4.
The main code is in rbc_ql.m, r.m evaluates the utility function, grad.m and hessian.m calculates gradient and hessian of a function.
rbc_ql.m
r.m
grad.m
hessian.m

Solutions

Assignment 1.2: Solving nonlinear equation with newton method
assignment1_2.m

Assignment 1.3: Calculating expected value
assignment1_3.m

Assignment 1.4: Solving for equilibrium saving
assignment1_4.m

Assignment 2
notes (pdf)
assignment2_4ab.m
assignment2_4c.m
eval_foc.m
assignment2_4e.m
eval_foc_useless.m
assignment2_5ab.m
eval_foc5.m

Assignment 3
solution (pdf)

Assignment 4

rbc_poly.m	Main script, using polynomial approximation to solve rbc model
implied_CK.m	Calculates c and kprime implied by {z,k,h}
V.m	Evaluates polynomial (value function or labor supply) in state {z,k}
U.m	Evaluates utility function
rbc_poly_howard.m	Same as rbc_poly but with Howard improvement algorithm
rbc_poly_fast.m	Same as rbc_poly_howard, but avoids calling external functions - speed will be significantly higher at least with Matlab 6.5 and 7

Assignment 5

solution	Pdf file
cubicsplineEx.m	For exercise 1
DeatonLinear.m	Main script for exercises 2-3 (using piecewise linear approximation)
JacDeatonLinear.m	Evaluates euler equation and jacobian of euler equation