ECON408: Computational Methods in Macroeconomics, Winter 2025

Additional course materials are in:

• Undergraduate Computational Economics Slides
• Setup Instructions
• Jupyter Notebooks of Slides
• Syllabus

To setup this repository for editing problem sets:

• First install access to the main notebooks with [Setup Instructions]
• Then with this project cloned
  • Run a Julia terminal with <Cmd+Shift-P> then Julia: Start REPL and do ]instantiate
  • Or julia --project then ]instantiate

Problem Sets and Exams

1. Due Midnight PST on January 19 - Problem Set 0
   • This is a pass/fail problem set (i.e., hand it in you pass!) just to ensure you have setup your computer properly
2. Due Midnight PST on January 26 - Problem Set 1
3. Due Midnight PST on February 2 - Problem Set 2
4. Due Midnight PST on February 23 - Problem Set 3
5. NOT TO HAND IN - Midterm Practice Problems
6. February 26 - MIDTERM EXAM IN CLASS
7. Due Midnight PST on March 20 - Problem Set 4
8. Due Midnight PST on March 30 - Problem Set 5
9. Due Midnight PST on April 6 - Problem Set 6
10. NOT TO HAND IN - Final Practice Problems Link TBD

All problem set solutions should be submitted on Canvas directly as a .ipynb file with instructions embedded.

Schedule

1. January 6 - Course Overview and Computational Environment
2. January 8 - Geometric Series, Fixed Points, and Asset Pricing
3. January 13 - Geometric Series, Fixed Points, and Asset Pricing and started Deterministic Dynamics and Introduction to Growth Models
4. January 15 - Deterministic Dynamics and Introduction to Growth Models
5. January 20 - Deterministic Dynamics and Introduction to Growth Models
6. January 22 - Finish Deterministic Dynamics and Introduction to Growth Models and start Stochastic Dynamics, AR(1) Processes, and Ergodicity
7. January 27 - Stochastic Dynamics, AR(1) Processes, and Ergodicity
8. January 29 - Stochastic Dynamics, AR(1) Processes, and Ergodicity
9. February 3 - Problem Set Review
10. February 5 - Stochastic Dynamics, AR(1) Processes, and Ergodicity
11. February 10 - Wealth Distribution, Firm Dynamics, and Inequality
12. February 12 - Wealth Distribution, Firm Dynamics, and Inequality
13. February 17 - SPRING BREAK
14. February 19 - SPRING BREAK
15. February 24 - Problem Set + Midterm Review Questions + Practice Exam Logistics
16. February 26 - Midterm
17. March 3 - Linear State Space Models, Asset Pricing, and the Kalman Filter
18. March 5 - Finish Linear State Space Models, Asset Pricing, and the Kalman Filter and introduce Optimal Consumption, Savings, and the Permanent Income Model
19. March 10 - Optimal Consumption, Savings, and the Permanent Income Model
20. March 12 - Finish Optimal Consumption, Savings, and the Permanent Income Model and start Markov Chains with Applications to Unemployment and Asset Pricing
21. March 17 - Markov Chains with Applications to Unemployment and Asset Pricing and Search and Dynamic Programming
22. March 19 - Search and Dynamic Programming
23. March 24 - Search and Dynamic Programming and Asset Pricing, Lucas Trees, and Option Pricing
24. March 26 - Asset Pricing, Lucas Trees, and Option Pricing
25. March 31 - Asset Pricing, Lucas Trees, and Option Pricing and Rational Expectations and Markov Perfect Equilibrium if time-permits
26. April 2 - Problem Set 4 and 5 Review
27. April 7 - Rational Expectations and Markov Perfect Equilibrium if time permits and answer any Practice Problems