European Commission
Euro-area Economy Modelling Centre
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Global Sensitivity Analysis for Macroeconomic Models - Course
Ispra October 1-2 2009
The scope of the course is to give an introduction to methods of global sensitivity analysis and their application to Dynamic Stochastic General Equilibrium (DSGE) macroeconomic models.
Duration: 2 Days
Starting Date: 1 October 2009
End Date: 2 October 2009
AUDIENCE
The course is mainly addressed to DYNARE users.
DESCRIPTION
What is the stability region of a DSGE model? Which structural parameters mainly
drive the instability or the indeterminacy of the model?
Which structural parameters mainly drive the fit of GDP and which the fit of inflation? Is there any trade-off?
What about the relationship between the reduced form of a forward looking model and the structural parameters?
Is it possible to screen identifiable and non-identifiable parameters before starting an estimation?
These questions often arise while analysing and estimating DSGE models and Global Sensitivity Analysis (GSA) can help us in answering these questions.
DETAILS
Organizers: Marco Ratto, Riccardo Girardi, Ivano Azzini, Eleonora Beghetto.
The course will be animated by Marco Ratto and the guest teachers: Michel
Juillard and Nikolay Iskrev.
It is a “portable only” course. Each participant is required to come with his/her portable computer with Matlab version 7 or above installed. Participants are also encouraged to develop their own project and bring their own data sets.
The routines for mapping stability are available in the official DYNARE package, version 4.
Download the complete GSA package
DEADLINE for Registration
14 September 2009
FEE:
No fees are due.
