Computational Economics

This one-week course will cover several topics in computational economics. Starting with the study of basic tools from numerical analysis such as non-linear programming, function approximation, and integration the class will then move to recent developments in the computation of heterogenous agents macro-finance models. In class, I will discuss perturbation as well as projection methods for solving models with a moderate number of state variables and I will give an introduction to sparse grid methods. Finally, I will introduce several methods to compute Bewley-style models with a continuum of agents and aggregate shocks.
Prerequisites: The course is by and large self-contained. However, some familiarity with Matlab is essential for solving the exercises. Before attending the class, students are encouraged to acquire some knowledge of microeconomics (e.g. at the level of Mas-Colell, Whinston and Green) as well as macroeconomics (e.g. at the level of Stokey and Lucas).