David A Kendrick

PREREQUISITE: ECONOMICS 420K WITH A GRADE OF AT LEAST C-.

THIS COURSE PROVIDES AN INTRODUCTION TO COMPUTATIONAL ECONOMICS FOR UNDERGRADUATES. IT WILL COVER THE APPLICATION OF COMPUTATIONAL METHODS TO ECONOMIC MODELS IN FIELDS SUCH AS SECTORAL ECONOMICS, ENVIRONMENTAL ECONOMICS, MACROECONOMICS, GROWTH THEORY, AND OTHERS. THE COMPUTATIONAL METHODS WILL INCLUDE BOTH SIMULATION AND OPTIMIZATION APPROACHES AS WELL AS DATABASES. A VARIETY OF COMPUTER LANGUAGES WILL BE USED INCLUDING MATLAB, GAMS AND MATHEMATICA. PREVIOUS KNOWLEDGE IN ECONOMICS, MATHEMATICS, AND COMPUTATIONAL METHODS IS USEFUL THOUGH STRENGTH IN ONE OR TWO OF THESE AREAS CAN MORE THAN ACCOMMODATE FOR LITTLE OR NO BACKGROUND IN ONE OR TWO OF THE OTHERS.

THERE ARE WEEKLY COMPUTER EXERCISES AS WELL AS A TERM PAPER.

PREREQUISITE: ECONOMICS 420K WITH A GRADE OF AT LEAST C-.

THIS COURSE PROVIDES AN INTRODUCTION TO COMPUTATIONAL ECONOMICS FOR UNDERGRADUATES. IT WILL COVER THE APPLICATION OF COMPUTATIONAL METHODS TO ECONOMIC MODELS IN FIELDS SUCH AS SECTORAL ECONOMICS, ENVIRONMENTAL ECONOMICS, MACROECONOMICS, GROWTH THEORY, AND OTHERS. THE COMPUTATIONAL METHODS WILL INCLUDE BOTH SIMULATION AND OPTIMIZATION APPROACHES AS WELL AS DATABASES. A VARIETY OF COMPUTER LANGUAGES WILL BE USED INCLUDING MATLAB, GAMS AND MATHEMATICA. PREVIOUS KNOWLEDGE IN ECONOMICS, MATHEMATICS, AND COMPUTATIONAL METHODS IS USEFUL THOUGH STRENGTH IN ONE OR TWO OF THESE AREAS CAN MORE THAN ACCOMMODATE FOR LITTLE OR NO BACKGROUND IN ONE OR TWO OF THE OTHERS.

THERE ARE WEEKLY COMPUTER EXERCISES AS WELL AS A TERM PAPER.

This course provides an advanced level study of macroeconomics.   The focus is on (1) the economics and the politics of the subject and (2) the mathematical and computational models that are used to develop macroeconomic policy.   The textbook is by Hall and Taylor and this is supplemented with readings from a book by Krugman.  In addition class notes are provided.

The Hall and Taylor model is used in a series of student exercises with the GAMS software.

There are two hour exams and term paper.

PREREQUISITE: ECONOMICS 420K WITH A GRADE OF AT LEAST C-.

THIS COURSE PROVIDES AN INTRODUCTION TO COMPUTATIONAL ECONOMICS FOR UNDERGRADUATES. IT WILL COVER THE APPLICATION OF COMPUTATIONAL METHODS TO ECONOMIC MODELS IN FIELDS SUCH AS SECTORAL ECONOMICS, ENVIRONMENTAL ECONOMICS, MACROECONOMICS, GROWTH THEORY, AND OTHERS. THE COMPUTATIONAL METHODS WILL INCLUDE BOTH SIMULATION AND OPTIMIZATION APPROACHES AS WELL AS DATABASES. A VARIETY OF COMPUTER LANGUAGES WILL BE USED INCLUDING MATLAB, GAMS AND MATHEMATICA. PREVIOUS KNOWLEDGE IN ECONOMICS, MATHEMATICS, AND COMPUTATIONAL METHODS IS USEFUL THOUGH STRENGTH IN ONE OR TWO OF THESE AREAS CAN MORE THAN ACCOMMODATE FOR LITTLE OR NO BACKGROUND IN ONE OR TWO OF THE OTHERS.

THERE ARE WEEKLY COMPUTER EXERCISES AS WELL AS A TERM PAPER.

PREREQUISITE: ECONOMICS 420K WITH A GRADE OF AT LEAST C-.

THIS COURSE PROVIDES AN INTRODUCTION TO COMPUTATIONAL ECONOMICS FOR UNDERGRADUATES. IT WILL COVER THE APPLICATION OF COMPUTATIONAL METHODS TO ECONOMIC MODELS IN FIELDS SUCH AS SECTORAL ECONOMICS, ENVIRONMENTAL ECONOMICS, MACROECONOMICS, GROWTH THEORY, AND OTHERS. THE COMPUTATIONAL METHODS WILL INCLUDE BOTH SIMULATION AND OPTIMIZATION APPROACHES AS WELL AS DATABASES. A VARIETY OF COMPUTER LANGUAGES WILL BE USED INCLUDING MATLAB, GAMS AND MATHEMATICA. PREVIOUS KNOWLEDGE IN ECONOMICS, MATHEMATICS, AND COMPUTATIONAL METHODS IS USEFUL THOUGH STRENGTH IN ONE OR TWO OF THESE AREAS CAN MORE THAN ACCOMMODATE FOR LITTLE OR NO BACKGROUND IN ONE OR TWO OF THE OTHERS.

THERE ARE WEEKLY COMPUTER EXERCISES AS WELL AS A TERM PAPER.

                                                                                                            Jan. 7, 2010

Reading List

Eco 320L-H

Spring 2010

David Kendrick

 

 

 

David Kendrick Office Hours: MWF 11                                                          BRB 3.134E

TA Office Hours: To Be Announced

 

This course provides an introduction to macroeconomics.   The focus is on both the economics and the politics of the subject.    Also, mathematical and computational models are used in the class.   The textbook is by Hall and Papell and also readings from a book by Krugman are used.  In addition class notes are provided.

 

There are two hour exams, a set of exercises and a comprehensive final exam.

 

TEXTS

 

1.  Kendrick, David A. (DK), Goals and Policies for the Economy, mimeo, Department of Economics, The University of Texas, Austin, Texas, August 2009. (Available at Central Duplicating in GSB 3.136). 

 

2.  Hall, Robert E. and David H. Papell (HP), Macroeconomics: Economic Growth, Fluctuations and Policy, Sixth Edition, W. W. Norton & Company, New York, 2005.

 

3.  Krugman, Paul (PK), Peddling Prosperity, W. W. Norton and Co., New York, 1994.

 

 

WEB SITES

 

1.         www.dismal.com

2.         www.msnbc.com

3.         www.nytimes.com

4.         www.wwnorton.com/web/macrosolve

           

 

 

OPTIONAL TEXT

 

1.  Culver, Sarah and David H. Papell, Hall and Papell's Macro Economics Study Guide, Sixth Edition, 2005, W. W. Norton and Company.  (This is not required but you may find it a useful aid when reading Hall and Papell.)

 

 

 

SCHEDULE

 

                                                                         Lectures                Read                 Discuss

                                                                          Goals              Hall & Papell         Hall &

                                                                                                                                 Papell

  I. GOALS

         Jan      22         Low Unemployment             1,2                        1,2

                    25         Low Inflation                           3

                    27         Balance of Payments               4                            3

                    29         Discuss Hall and Papell                                                              1 2 3

         Feb       1         Growth                                     5                            4

                      3         Income Dist                             6                            5                          

                      5         Discuss HP                                                             6                   4,5,6

                                 Discuss First Exercise

                      8         Government Deficit                 7                             

 

 II.  CONTROLS    

                    10         Government Spending             8                            7                          

                    12         Discuss HP                                                                                        7

                                 First Exercise Due                                                                             

                    15         Taxes                                        9                                                           

                    17         Money Supply                        10                                                        

                    19         First Hour Exam                                                     

                    22         Prices and Wages                   11

                    24         Lecture on HP Ch 8                                               8                         8

                    26         Lecture on HP Ch 9                                               9                         9

                                 Discuss Second Exercise

         Mar       1         Discuss Krugman Ch 1

                      3         Krugman Ch 2

                                 Questions on Second Exercise                    

                      5         Discuss HP                                                           10                       10  

                                 Second Exercise Due

                      8         Krugman Ch 3 and 4

                    10         Foreign Trade                         12                             

 

 

 

                                                                                    Lectures        Study              Discuss

                                                                                     Goals        Hall & Papell       Hall &

                                                                                                                                    Papell

III.    RELATIONSHIPS BETWEEN CONTROLS AND GOALS

         Mar     12         Discussion Class                    13                             

                    15         Spring Break                                                                                         

                    22         Consumption                          14

                    24         Investment                             15                                                           

                    26         Krugman Ch 5 and 6                                                                            

                    29         Krugman Ch 7 and 8                                              

                    31         Second Hour Exam

         Apr       2         Interest Rates - Discuss HP

                                 Discuss Third Exercise           16                          11                       11

                      5         Prices                                      17

                      7         Prices                                         

                                 Questions on Third Exercise

                      9         Wages, Labor                         18                          12

                                                                                19                                                        

                    12         Discuss HP                             19                                                     12

                                 Third Exercise Due/Discuss Fourth Exercise

                    14         Trade                                      20                     13,14

                    16         Discuss HP                                                                                 13,14

                    19         Complete Model                    21                          15

                                 Progress Report on Fourth Exercise Due

                    21         US Empirical Model                                               

                    23         Parasuk Model                                                     16

                                 Questions on Fourth Exercise

                    26         Parasuk Model                                                                              

                    28         Discuss HP                                                                                 15,16

                                 Fourth Exercise Due

                    30         Discuss HP                                                           17                       17

         May      3         Krugman Ch 9 and 10                                                                       

                      5         Discuss HP                                                           18                       18

                      7         Discussion                                                                                          

                    15         Final Exam

 

May 15    Final Exam - The final exam is comprehensive and is required.   If you will have to leave Austin before Saturday May 15 then you should switch to another section of Eco 320L.

 

 

The University has a new policy which permits the assignment of plus and minus grades in undergraduate classes.  I plan to make use of that option this spring. 

                                                                                   

GRADES        First Exercise                                                      3

                        Second Exercise                                                  4

                        Third Exercise                                                     6

                        Progress Report (4^th Exercise)                             4

                        Fourth Exercise                                                   7

                        First Hour Exam                                               21                 

                        Second Hour Exam                                           25

                        Final                                                                  30

                        Total                                                                100

 

 

Attendance is not directly used in determining the class grade, though it will affect your ability to perform on the exams and the value added you take away from the course.

 

I will make myself available to discuss appropriate academic accommodations that you may require as a student with a disability.  Also students with disabilities may request appropriate academic accommodations from the Division of Diversity and Community Engagement, Services for Students with Disabilities, 471-6259.

                                                                                                Jan 11, 2010

 

Economics 392M.12

Computational Economics

 Spring 2010

 

 

David Kendrick                                                                                  Office Hours

BRB 3.134E                                                                                       MWF 11-12

kendrick@eco.utexas.edu                                          

http://www.eco.utexas.edu/faculty/Kendrick

 

 

TA: Doruk Basar

 

This course provides an introduction to computational economics for graduate students.  It will cover the application of computational methods to economic models in fields such as sectoral economics, environmental economics, macroeconomics, financial economics, growth theory and others.   The computational methods will include both simulation and optimization approaches as well as databases.   A variety of computer languages will be used including MATLAB, GAMS and Mathematica.

Previous knowledge in economics, mathematics and computational methods is useful though strength in one or two of these areas can more than accommodate for little or no background in one or two of the others.

There are weekly computer exercises as well as a short paper at mid-term and a long paper at the end of the term.  

 

 

The textbook for this course is

 

Kendrick, David A., P. Ruben Mercado and Hans M. Amman, Computational Economics, Princeton University Press, Princeton, New Jersey, 2006.

 

The web site associated with the book is

 

            http://eco.utexas.edu/compeco

 

This site has pointers to input files for most of the models that we will be using in the course, to the software packages, etc.

 

Also, there are three packets of materials for this course at Central Duplicating in GSB 3.136.   The first is a collections of articles, the second is some chapters from the User's Guide for the Duali software and the third is the first seven chapters from my Stochastic Control for Economic Models (2^nd ed) book.  

 

You should buy the first packet.  The second packet is optional.  There is an older version available on the Web and you can find it by going to my home page at

 

http://www.eco.utexas.edu/faculty/Kendrick/

 

and navigating from there.  The third packet is also optional.   It is available on my web site for reading online or downloading.

 

Also some of the materials for the course can be found at the web site for this course which is 

 

http://www.eco.utexas.edu/compeco/courses/index392.html

 

 

Optional Texts

See DK about gaining access to these.

1.  Kendrick, David A. (1990), Models for Analyzing Comparative Advantage, Kluwer Academic Publishers, Dordrecht, The Netherlands.

2.   Judd, Kenneth L. (1998), Numerical Methods in Economics, M.I.T. Press, Cambridge, MA.

3.   Amman, Hans M., David A. Kendrick and John Rust (Eds) (1996), Handbook of Computational Economics, North-Holland Publishing Co., Amsterdam.

4.   Brooke, Anthony, David Kendrick, Alexander Meeraus and Ramesh Raman (1998), GAMS: A Users Guide, available from the GAMS Development Corporation at

http://www.gams.com

 

 

 

Outline

 

I. First Pass

 

Growth

            1.  Chakravarty in Excel

            2.  Chakravarty in GAMS

 

Transportation and Industrial Modeling

            1.  Transportation Model in GAMS

            2.  Small Mexican Steel

 

Databases

            1.   U.S. Data in Access

 

Financial Modeling

            1.  Portfolio Model in MATLAB

 

Game Theory

            1.   Genetic Algorithms and Evolutionary Games in MATLAB

 

 

II. Second Pass

 

Financial Modeling

            1.  Genetic Algorithms and Portfolio Models in MATLAB

 

Dynamic Optimization

            1.  Dynamic Optimization in MATLAB

 

Agent Based

            1.  Agent-Based Models in MATLAB

 

Personal Financial Planning

            1.  Thrift Model in GAMS

 

Macroeconomics

            1.   Hall and Taylor in GAMS

            2.   Taylor Multicountry Model in GAMS

 

Environmental

            1.  Global Warming in GAMS

 

Partial Equilibrium Models

            1.  Partial Equilibrium in Mathematica

 

Computable General Equilibrium

            1.   CGE Models in GAMS

 

Control Theory

            1.  Deterministic Control in Duali

            2.  Stochastic Control in Duali

 

Neural Nets

            1.  Neural Nets in Excel

 

Rational Expectations

            1.  Rational Expectations Macro in Duali

 

Dynamic Programming

            1. Discrete State Space

            2. Value Function Iteration

 

Game Theory

            1.  Cournot Duopoly in Mathematica

            2.  Stackelberg Duopoly in Mathematica

 

Growth

            1.  Judd and Guu in Mathematica

            2.  Kendrick and Taylor in GAMS

 

Reading List

I. First Pass

 

 

Growth

            1.  Chakravarty in Excel

                        KMA Ch. 1 “Growth Model in Excel”

            2.  Chakravarty in GAMS

                        Notes in Packet #1

                        Chakravarty, S. (1962), "Optimal Savings with

                        a Finite Planning Horizon," International Economic

                        Review, September, Vol. 3, pp. 338-355.

                                   

Transportation and Industrial Investment

            1.  Transportation Model in GAMS

                        KMA Ch. 4 “Transportation in GAMS”

            2.  Small Mexican Steel

                        Kendrick, Meeraus and Alatorre, The Planning of Investment Programs

in the Steel Industry, Johns Hopkins University Press, Baltimore.

 

Databases in Access

            1.   U.S. Data

                        KMA Ch. 5 "Databases in Access"

 

Financial Modeling

            1.  Portfolio Model in MATLAB

                        KMA Ch. 7 “Portfolio Model in MATLAB”

 

Game Theory

            1.   Genetic Algorithms and Evolutionary Games in MATLAB

                        KMA Ch. 11 “Genetic Algorithms and Evolutionary Games in MATLAB”

 

 

II. Second Pass

 

Financial Modeling

            1.  Genetic Algorithms and Portfolio Models in MATLAB

                        KMA Ch. 12 “Genetic Algorithms and Portfolio Models in MATLAB”

                        KMA Ch. 14 “Agent-based Models in MATLAB”

 

Dynamic Optimization

            1.  Dynamic Optimization in MATLAB

                        KMA Ch. 16 “Dynamic Optimization in MATLAB”

 

Agent Based

            1.  Agent-Based Models in MATLAB

 

Personal Financial Planning

            1.  Thrift Model in GAMS

                        KMA Ch. 6 “Thrift in GAMS”

 

Macroeconomics

            1.   Hall and Taylor in GAMS

            2.   Taylor Multicountry Model in GAMS

                        Mercado and Kendrick (1997), "TAYGAMS: John Taylor's

Two-Country Model in GAMS" - in Packet #1

 

Environmental

            1.  Global Warming in GAMS

                        KMA Ch. 15 “Global Warming in GAMS”

                        Anantha Duraiappah (1993), Global Warming and Economic

                                    Development, Kluwer Academic Publishers, Dordrecht,

                                    The Netherlands.

 

Partial Equilibrium Models

            1.   Partial Equilbrium – Ch. 3 in KMA

 

Computable General Equilibrium

            1.   CGE Models in GAMS

                        KMA Ch. 8 “General Equilibrium Models in GAMS”

                              use Orani and also Seung Rae Kim’s model

 

Control Theory

            1.  Deterministic Control in Duali

                        Use this software to learn some Windows programming. 

                        Amman, Hans M. and David A. Kendrick, "The

                        Duali/Dualpc Software for Optimal Control

                        Models: User's Guide" Center for Applied Research

                        in Economics, TP 92-03, revised Dec. 1999 - in Packet #2

 

                        Ch. 4 model from Kendrick (2002), Stochastic

                        Control for Economic Models, 2^nd Ed., available

                        at http://www.eco.utexas.edu/faculty/Kendrick

                        Also in Packet #3.

 

            2.  Stochastic Control in Duali

                        KMA Ch. 17 “Stochastic Control in Duali” Sections 3 thru 6

                        OLF from Ch. 6 of Stochastic Control book

                        MacRae model from Ch. 7 of Stochastic Control book

CE vs OLF – paper by Amman & Kendrick in packet

                                    or find it at the Computational Economics journal

                                    web site beginning from the Springer web site at

                                    http://www.springerlink.com

                        Mitigation of the Lucas critique – paper by Amman and

                                    Kendrick in the packet or find it at the Elsevier web

                                    site for the JEDC journal beginning from

                                    http://www.sciencedirect.com

       

Neural Nets

            1.  Neural Nets in Excel

                        KMA Ch. 2 "Neural Nets in Excel"      

 

Rational Expectations                                                       

            1.  Rational Expectations Macro in Duali

                        KMA Ch. 18 “Rational Expectations Macro in Duali”

 

Dynamic Programming

            1.   Ch. 19 “Dynamic Programming with Discrete State Space”

            2.   Ch. 20 “Dynamic Programming with Value Function Iteration”

 

Game Theory

            1.  Cournot Duopoly in Mathematica

                        KMA Ch. 9 “Cournot Duopoly in Mathematica”

            2.  Stackelberg Duopoly in Mathematica

                        KMA Ch. 10 “Stackelberg Duopoly in Mathematica”

 

Growth

            1.  Judd and Guu in Mathematica

                        "Perturbation Solution Methods for Economic Growth

                        Models" by Kenneth Judd and Sy-Ming Guu, Ch. 4

                        in Hal Varian (ed), Economic and Financial Modeling

                        with Mathematica, TELOS/Springer Verlag, 1993.

 

            2.  Kendrick and Taylor in GAMS

                        Kendrick (1990) Models for Analyzing Comparative Advantage Ch. 5 

                        Mercado, Lin and Kendrick (2003), “Modeling

                        Economic Growth with GAMS” Ch. 2, pp. 31-51 in festschrift for

                        Lance Taylor, i.e. Amitava Krishna Dutt and Jaime Ros (eds)

                        (2003), Development Economics and Structuralist

                        Macroeconomics, Edward Elgar, Northampton, MA.

 

 

Schedule

Jan         25      Lecture

                              KMA Ch. 1 “Growth Model in Excel”

                              Chakravarty model in GAMS – notes in packet

                              Mercado, Lin and Kendrick – multi-sectoral growth model                                                        KMA Ch. 4 “Transportation in GAMS”

                              Small static Mexican steel model.

                        Lab Preparation

                              Chakravarty growth model in Excel

                              Chakravarty growth model in GAMS

                              Multi-sectoral growth model in GAMS

                              Transport model in GAMS

                              Small Mexican steel model in GAMS

                        Lab

                              modify and solve either (1) the Chakravarty growth model

                              in Excel or GAMS, (2) the multi-sectoral growth model in

                              GAMS or (3) the transport model or the small

                              static Mexican steel model in GAMS

                 

Feb          1      Lecture

                              KMA Ch. 5 "Databases in Access"

                              KMA Ch. 7 “Portfolio Model in MATLAB”

                              Also we will use as an alternative the portfolio model in GAMS in App. 7C.

                        Lab Preparation

                              Using ACCESS on UNIX Terminals

                              Using MATLAB on UNIX Terminals

                              Portfolio model in MATLAB and in GAMS

                        Lab

                              Access and useco.mdb on CARE or UNIX machines

                              Portfolio model in MATLAB and in GAMS

                        Due

                              Exercise on (1) the Chakravarty growth model in Excel or GAMS,

                              (2) the multi-sectoral growth model, (3) the transport model

                              or (4) the small static Mexican steel model.

 

Feb          8      Lecture

                              KMA Ch. 11 “Genetic Algorithms and Evolutionary Games in MATLAB”

                              KMA Ch. 12 “Genetic Algorithms and Portfolio Models in MATLAB”

                        Lab Preparation

                              Genetic Algorithms in evolutionary games or in portfolio models

                        Lab

                              Genetic Algorithm in evolutionary games or in portfolio

                              example in MATLAB

                        Due

                              Exercise on database systems or portfolio model.

 

Feb        15      Lecture

                              QLP from Ch. 2 of Kendrick Stochastic Control for Economic Models book

                              KMA Ch. 16 “Dynamic Optimization in MATLAB”

                        Lab Preparation

                              MATLAB for QLP

                        Lab

                              MATLAB

                        Due

                              Exercise on genetic algorithms applied to either evolutionary

                                  games or to portfolio models.

 

Feb        22      Lecture

                              Agent-based Models

                                  KMA Ch. 14 “Agent-based Models in MATLAB”

                        Lab

                                 Agent-based Model in MATLAB

                        Due

                              Exercise on QLP in MATLAB

 

Mar          1      Lecture

                              Financial Modeling from Michael Evanchik and Genevieve Solomon

                                  KMA Ch. 6 “Thrift in GAMS”

                              Hall and Taylor Model in GAMS – KMA Ch. 13 “Macroeconomic in GAMS”

                        Lab

                              Student Financial Model in GAMS

                              HTGAMS

                        Due

                              Exercise on agent based models.

                             

Mar          8      Lecture

                              John Taylor’s multicountry models

                                   Intro to John Taylor’s Rational Expectations Model

                                       KMA Ch. 18 “Rational Expectations Macro in Duali”

                                      Sections 1 and 2

                                  Taylor Model in GAMS

                        Lab

                              TAYGAMS, i.e. tay01.gms etc.

                        Due

                              Short Paper

 

Mar        16      Spring Break

 

 

Mar        22      Lecture

                              Environmental Models - Nordhaus and Duraiappah

                                  KMA Ch. 15 “Global Warming in GAMS”

                        Lab

                              Nordhaus DICE Model in GAMS

                        Due

                              Exercise on the thrift model or on

                                the Hall and Taylor Model in GAMS

                                or Taylor Model in GAMS

 

Mar        29      Lecture

                              Hall and Taylor model transformed to control theory form

                                   Discuss HTGAMS paper and ht01.gms, ht02.gms, ht03.gms

                        Lab

                              HTGAMS, i.e. ht01.gms, ht02.gms, ht03.gms

                        Due

                              Exercise on the global warming model.

 

Apr          5      Lecture

                              CGE Models –

                                  KMA Ch. 3 – Partial Equilibrium

                                  KMA Ch. 8 “General Equilibrium Models in GAMS”

                        Lab

                              CGE in GAMS - use Mercado, Orani and also Seung Rae

                              Kim’s model

                        Due

                              Exercise on HTGAMS, i.e. ht01.gms, ht02.gms, ht03.gms

 

Apr        12      Lecture

                              Deterministic Control in Duali

                              KMA Ch. 17 “Stochastic Control in Duali” Sections 1 and 2

                        Lab

                              Hall and Taylor in Duali

                        Due

                              Exercise on the partial equilibrium or the general equil models.

 

Apr        19      Lecture

                              Stochastic Control in Duali

                                    OLF from Ch. 6 of Stochastic Control book

                                    MacRae model from Ch. 7 of Stochastic Control book

                                    KMA Ch. 17 “Stochastic Control in Duali” Sections 3 thru 6

                        Lab

                              MacRae in Duali or Taylor in Duali

                        Due

                              Exercise on Abel in Duali or Hall and Taylor in Duali

 

 

Apr        26      Lecture

                              KMA Ch. 2 "Neural Nets in Excel"         

                        Lab Preparation

                              Using Microsoft Excel Solver on UNIX Terminal

                        Lab

                              Neural net example in Excel

                        Due

                              Progress Report on Long Paper

 

May         3      Lecture

                              KMA Ch. 18 “Rational Expectations Macro in Duali”

                              CE vs OLF paper in Duali (Comp Eco)

                              lqz models in Matlab for QZ decomposition (Macro Dyn)

                              Mitigation of the Lucas Critique in MATLAB  (JEDC)

                        Lab

                              MATLAB with lqz and lqzolf

                        Due

                              Exercise on MacRae or Hall and Taylor or other stochastic control model

                              with parameter uncertainty or on neural nets.

 

 

Extra Topic     Lecture

                              Dynamic Programming with discrete state space

                              Dynamic programming with value function iteration

                        Lab Preparation

                              Discrete State Space in MATLAB

                              Value Function Iteration in MATLAB

                        Due

                              Nothing

 

Extra Topic     Lecture

                              Game Theory materials from Dan Gaynor

                                  KMA Ch. 9 “Cournot Duopoly in Mathematica”

                                  KMA Ch. 10 “Stackelberg Duopoly in Mathematica”

                        Lab

                              Game Theory in Mathematica

 

Extra Topic     Lecture

                              Growth Models -   Judd-Guu and Kendrick-Taylor

                        Lab

                              Chak in Excel and Judd Guu in Mathematica

                              Kendrick and Taylor in GAMS

 

 

May 12 (Wed) Long Paper Due at 12 noon

 

                                          

Standing on the Shoulders

 

In addition to the GAMS Library there are model files available for a number of other studies.   These are available from David Kendrick.  These files include

 

            CHUNG                        Korean Macroeconomics

            DURA                           Global Warming

            HATHEWAY                U.S. Japan Macro Policy Coordination

            LETSON                        Water Pollution Control

            LOFGREN                    Egyptian Agriculture

            PARASUK                    U.S. Macro and Control Theory

 

Also, there are more than thirty example models available in the Duali software.   These models and the GAMS models offer a good starting point for the development of your own model.

 

Since there are a considerable number of weekly exercises (experiments) you can claim a “skip” on one of them during the semester by turning in that week a sheet with only your name the experiment name and the word “skip” on it.   If you do not use the skip then the last exercise will be entered as skipped on the grade spreadsheet.

 

 

The University has a new policy which permits the assignment of plus and minus grades in graduate classes.  I plan to make use of that option this spring. 

 

 

Grades

1.  Short Paper                                  30                    

2.  Exercises                                      25                                  

3.  Progress Report on Long Paper   10                    

4.  Term Paper                                  35                    

     Total                                           100

 

 

I will make myself available to discuss appropriate academic accommodations that you may require as a student with a disability.  Also students with disabilities may request appropriate academic accommodations from the Division of Diversity and Community Engagement, Services for Students with Disabilities, 471-6259.

 

 

8/6/09

 

Economics 363C

Statistics and Scientific Computational 339

Computational Economics

 Fall 2009

 

 

David Kendrick                                                                      Office Hours

BRB 3.134E                                                                           Mon Wed 1 pm Fri 11 am

kendrick@eco.utexas.edu

http://www.eco.utexas.edu/faculty/Kendrick

 

TA: To be Announced

 

This course provides an introduction to computational economics for undergraduates.  It will cover the application of computational methods to economic models in fields such as sectoral economics, environmental economics, macroeconomics, financial economics, growth theory and others.   The computational methods will include both simulation and optimization approaches as well as databases.   A variety of computer languages will be used including MATLAB, GAMS and Mathematica.

Previous knowledge in economics, mathematics and computational methods is useful though strength in one or two of these areas can more than accommodate for little or no background in one or two of the others.

There are weekly computer exercises as well as a term paper.  

 

Text

David A. Kendrick, P. Ruben Mercado and Hans M. Amman, Computational Economics, Princeton University Press, Princeton, NJ, 2006. (KMA)

 

Web Sites

 

The web site containing the input files that are used for most of the experiments as well as pointers to web sites for the applications used in the course is

 

http://www.eco.utexas.edu/compeco

 

In addition, the TA for the class will maintain a web site for the course.   He or she will give you the URL for that web site the first day of the class.

 

Course Packet

 

There is a packet of materials for the course at University Duplicating Service in GSB 3.136.   It is a collection of articles and notes that supplement the textbook.

 

Outline

 

Part I Once Over Lightly ...

Macroeconomics

            1.         Growth Model in Excel

Microeconomics

            4.         Transportation in GAMS

Estimation

            5.         Database Systems in Access

Microeconomics

            3.         Partial Equilibrium in Mathematica

Finance

            6.         Thrift in GAMS with Genevieve Solomon

            7.         Portfolio Model in MATLAB

Estimation

            2.         Neural Nets in Excel

 

 

Part II    Once More ...

Microeconomics

            8.         General Equilibrium Models in GAMS

Game Theory

            11.       Genetic Algorithms and Evolutionary Games in MATLAB

Finance

            12        Genetic Algorithms and Portfolio Models in MATLAB

Macroeconomics

            13.       Macroeconomics in GAMS

Agent-Based

            14.       Agent-based Models in MATLAB

Environmental Economics

            15.       Global Warming in GAMS

Dynamic Optimization

            16.       Dynamic Optimization in MATLAB

 

 

 

Schedule

Aug       28      Lecture

                              Short Introduction to Growth Models: Verbal and Mathematical

 

Aug       31      Lecture

                              Growth in Excel - Ch. 1 in KMA

Sept         4      Lab

                              Excel - Modify and solve the growth model.

 

Sep          7      Labor Day

 

Sept         9      Lecture

                              Transportation in GAMS - Ch. 4 in KMA

                        Lab

                              Transportation in GAMS

                        Due

                              Experiment on the growth model in Excel

 

Sept       14      Lecture

                              Database in Access - Ch. 5 in KMA

                              Partial Equilibrium in Mathematica - Ch. 3 in KMA

                        Lab

                              Database in Access

                              Partial Equilibrium in Mathematica

                        Due

                              Experiment on transportation in GAMS

 

Sept       21      Lecture

                              Thrift in GAMS - Ch. 6 in KMA

                        Lab

                              Thrift in GAMS

                        Due

                              Experiment on database in Access or partial equilibrium in Mathematica

                             

Sept       28      Lecture

                              Portfolio in MATLAB - Ch. 7 in KMA

                        Lab

                              Portfolio in MATLAB

                        Due

                              Experiment on thrift in GAMS

 

Oct          5      Lecture

                              Neural Nets in Excel - Ch. 2 in KMA

                        Lab

                              Neural Nets in Excel

                        Due

                              Experiment on portfolio in MATLAB

 

Oct        12      Lecture

                              General Equilibrium Models in GAMS - Ch. 8 in KMA

                        Lab

                              General Equilibrium Model in GAMS

                        Due

                              Short Paper

 

Oct        19      Lecture

                              Agent-Based Model in MATLAB - KMA 14

                        Lab

                              Agent-based model in MATLAB

                        Due

                              Experiment on neural nets in Excel or general equilibrium in GAMS

                             

Oct        26      Lecture

                              Genetic Algorithms and Evolutionary Games in MATLAB - Ch. 11 in KMA

                        Lab

                              Genetic Algorithms and Evolutionary Games in MATLAB

                        Due

                              Experiment on agent based model in MATLAB

 

Nov         2      Lecture

                              Genetic Algorithms and Portfolio Models in MATLAB - Ch. 12 in KMA

                        Lab

                              Genetic algorithms and portfolio model in MATLAB

                        Due

                              Experiment on genetic algorithms and evolutionary games in MATLAB

 

Nov         9      Lecture

                              Macroeconomics in GAMS - Ch. 13 in KMA

                        Lab

                              Macroeconomics in GAMS

                        Due

                              Progress Report on Long Paper

 

Nov       16      Lecture

                              Global Warming in GAMS - KMA Ch. 15

                        Lab

                              Global Warming in GAMS

                              While in lab do an experiment on global warming,

                              Write up a couple of paragraphs and turn it in before leaving the lab.

                        Due

                              Experiment on genetic algorithms and portfolio models in MATLAB                                                    or experiment on Macroeconomics in GAMS

 

Nov       23      Lecture

                              Dynamic Optimization in MATLAB - KMA Ch. 16

                        Lab

                              Thanksgiving Holiday

                        Due

                              Nothing                                           

 

 

Nov       30      Lecture

                              Stochastic Control in Duali - KMA Ch. 17

                        Lab

                              None

                        Due   (Friday Dec. 4)

                              Long Paper -   Turn in at 4^th floor lab by 1 pm

                              Reminder - No late papers! - Loss of letter grade per nanosecond late!

 

Since there are a considerable number of weekly exercises (experiments) you can claim a "skip" on one of them during the semester by turning in that week a sheet with only your name the experiment name and the word "skip" on it.   If you do not use the skip then the last exercise will be entered as skipped on the grade spreadsheet.

 

The University has a new policy which permits the assignment of plus and minus grades in undergraduate classes.  I plan to make use of that option this fall. 

 

Grades

1.  Short Paper                                  25                     Oct 16

2.  Experiments                                 35                                  

3.  Progress Report on Long Paper     7                     Nov 13

4.  Presentation                                   3                    

5.  Term Paper                                   30                     Dec 4               

     Total                                           100

 This class is like a job.  You can miss a day's work here and there with no problem; however, more than that has consequences.   More than four unexcused absences in the semester will results in a loss of one point on the final course grade for each additional unexcused absence.

 I will make myself available to discuss appropriate academic accommodations that you may require as a student with a disability.  Also students with disabilities may request appropriate academic accommodations from the Division of Diversity and Community Engagement, Services for Students with Disabilities, 471-6259.

THEORY OF THE DETERMINATION OF NATIONAL INCOME, EMPLOYMENT, AND THE PRICE LEVEL, WITH POLICY IMPLICATIONS. REQUIRED OF STUDENTS MAJORING IN ECONOMICS.

PREREQUISITE: ECONOMICS 420K WITH A GRADE OF AT LEAST C-.

The purpose of this course is to further students' understanding of the central ideas of macroeconomics.  We will study long-run economic growth and short-run economic fluctuations.  Once we have a basic understanding of these phenomena, we will discuss the main macroeconomic tools of the government, fiscal policy and monetary policy.  By the end of the semester, students should be able to critically read articles on current economic issues that appear in publications such as The New York Times, The Wall Street Journal, and The Economist.