Dynamic economics in practice (a PEPA training course) (join a waiting list)
Date:
17/09/2014 - 18/09/2014
Organised by:
Programme Evaluation for Policy Analysis
Presenter:
Monica Costa Dias (IFS) and Cormac O'Dea (IFS)
Level:
Intermediate (some prior knowledge)
Contact:
Kylie Groves - kylie_g@ifs.org.uk
Description:
This course provides a practical introduction to solving microeconomic dynamic optimisation problems. It will ground the discussion around the life-cycle permanent income model of consumption and savings, a model that has been a key workhorse in both macro- and micro-economics. The course has two main goals.
The first goal is to provide a rigorous discussion of recursive methods and how they are used to solve dynamic optimization problems in economics. We will show that the optimal allocation of resources over time depends on key characteristics of the problem at hand, including individual preferences, the dynamics of income or other resources, and economy-wide characteristics determining, for instance, the amount of uncertainty faced by individuals or the functioning of insurance and credit markets. The simplest consumption-savings problem will be introduced first and used to discuss the key features of recursive solution and simulation methods. It will then be gradually extended to more realistic, but also more complex setups.
The second goal is to discuss and implement the numerical tools typically used to solve and simulate dynamic optimisation problems. Recursive methods provide a powerful framework for the numerical solution of dynamic problems and computational algorithms heavily rely on them. The tight connection between the recursive solution methods and the numerical approach to the solution and simulation of the problems will be highlighted. We will examine numerical techniques to solve equations and approximate, interpolate, integrate and optimise unknown functions showing, in each case, the relative strengths and weaknesses of alternative techniques. The numerical tools will then be combined to solve and simulate problems of different levels of complexity. We will discuss how to use information about the problem to improve the accuracy of numerical approximations.
The course is a mixture of lectures and applied sessions. Course participants will apply the various techniques on their computers using MATLAB, based on accompanying code developed to implement the solution and simulation routines.
Cost:
Students - £60, Academic/Charity/Public Sector - £120 and Other - £440
Website and registration:
http://www.ncrm.ac.uk/training/booking/index.php?user=PEPA
Region:
Greater London
Keywords:
Evaluation Research, Frameworks for Research and Research Designs (other)
Related publications and presentations:
Evaluation Research
Frameworks for Research and Research Designs (other)