Numerical Methods for Advanced Macroeconomic Analysis I

The course is broadly divided into three main blocks. The first part covers time series concepts with a focus on Markov chain, stochastic linear difference equations, state-space model and Kalman filter. In the second part, dynamic programming problems are introduced as well as numerical tools necessary for solving them. The third part will be concerned with solution techniques for the DSGE model. Special focus will be devoted to the calculation of the steady-state and the issue of indeterminacy.