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CAMA events
DYNARE for Macroeconomic Analysis 28th March 2006
Presented by Philip Liu
Tuesday, 28 March 2006, 9:30am-12pm
Seminar Room D, Coombs Building, The Australian National University
Download (CAMA slides / Macro class slides/ Matlab code)
This lecture provides a brief introduction to Dynamic Stochastic General Equilibrium (DSGE) modeling using DYNARE. The objective of the lecture is to build on the participant’s previous understanding of DSGE modeling and present a simple tool for solving, simulating and estimating dynamic optimizing models using DYNARE (built into MATLAB). Topics covered include: installing DYNARE in MATLAB, setting up the .mod file, deterministic simulations, stochastic simulations for linear and non-linear dynamic models and estimation of the model’s parameters using Maximum Likelihood Estimation (MLE).
- DYNARE is a suite of programs for the simulation and estimation of rational expectation models
- Some understanding of DSGE modeling would be helpful but not essential
- Little programming skills are required
ANU Macro Study Group ( MSG )
Dennis (2005): "Optimal Policy in Rational Expectations Model: New Solution Algorithms", forthcoming Macroeconomic Dynamics. 31 October 2005
Download ( MSG slides )
This presentation was prepared for the ANU MSG discussion group on the 31 October 2005
The main focus of the discussion is to understand the new algorithm developed by Richard Dennis for solving optimal rational expectation models and evaluate the practically of the algorithm for estimating medium-scale DSGE models.
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