| Course: Estimating and Evaluating DGSE Models PLACE AND DATE:
Bank of Mexico, from August 3th to 7th 2009, in Mexico, D.F. OBJECTIVE:
The course presents a self contained exposition of systemwide methods to estimate and evaluate DSGE models. PARTICIPANTS:
CEMLA’s Member Central Banks. Required Background for participants: It is assumed that participants are familiar with the following topics: (a) Basic models used in dynamic macroeconomics, monetary economics and international economics. (b) Working knowledge of Matlab (and/or Dynare) programming language.
LANGUAGE:
English. AGENDA: Solving DSGE models and data treatment Dynamic Programming and Lagrangian Multipliers. Linear and second order methods. Dynare vs. other programs? Detrending / filtering for calibration and estimation. Problems.
Maximum likelihood estimation State space models and Kalman filter Prediction error decomposition of the likelihood and numerical tips. Application to DSGE models.
Introduction to Bayesian methods and posterior simulators Preliminaries: Bayes Theorem, Prior Selection, Nuisance Parameters. Normal approximations. MCMC methods (Gibbs sampler and Metropolis-Hastings). Prior Robustness.
Bayesian estimation of DSGE models Evaluation and forecasting with Bayesian DSGE models
DEADLINE FOR REGISTRATION:
The names of the participants should be submitted to both CEMLA and Banco de México by July 3rd , by the registration form. COORDINATOR AT BANCO DE MEXICO:
Álvaro García Zambrano, Telephone: +52 (55) 5237-2532; E-mail: agarciaz@banxico.org.mx COORDINATOR AT CEMLA:
Fernando Sánchez Cuadros
Manager, Central Bank Programs and Technical Meetings
Telephone: +52 (55) 5061 6670. Fax +52 (55) 5061 6678
E-mail: sanchez@cemla.org cc. lopez@cemla.org .
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Centro de Estudios Monetarios Latinoamericanos
Durango 54, Col. Roma, Mexico, D.F., Mexico.
+52 (55) 5061 6640 |
