Economics 41800: Computational Economics Course Information

Time: Tuesday, 12:00-2:50

Place: Stuart 105

Course syllabus and schedule (pdf document) (a Word document).

Office hour: Tuesday 10-11 a.m.

See my Stanford course's website for a similar past course.

Notes for chapter 1 (pdf) (html)

Notes for chapter 2 (pdf)  (html)

Problem set 1 (pdf)

Problem set 1 answers:

    Matlab: pdf file

    Mathematica notebooks: Problem  1   2     3     4     5     6     7     8     9

Notes for chapter 3 (pdf) (html)

Problem set 2 (pdf)

Problem set 2 answers (pdf)

Notes for chapter 4 (pdf)

Yinyu Ye's optimization software for Matlab - solnp.m, subnp.m, manual.pdf

Notes for chapter 5 (pdf)

Kelley's Matlab programs for nonlinear equations (http://www4.ncsu.edu/eos/users/c/ctkelley/www/newtony.html)

Problem set 3 (pdf)

Problem set 3 answers: Problem    1       2       3   

Notes for chapter 6 (pdf)

Notes for chapter 7 (pdf)

Notes for chapter 8 (pdf)

Notes for chapter 9  (pdf)

Problem set 4 (pdf)

Problem set 4 answers (pdf)

Integration formulas:      Gauss-Hermite formulas         Gauss-Hermite weights and points

                                    Gauss-Legendre formulas       Gauss-Legendre weights and points

                                    Gauss-Laguerre formulas       Gauss-Laguerre weights and points

Stochastic Games (Nov. 5 lecture, 1:30-2:50, Rosenwald 011): Based on Doraszelski-Judd paper. (Notes for lecture)

Notes for chapter 10 (pdf)

Notes for chapter 11 (pdf)

Notes for chapter 12 (pdf)

Computing Supergame Equilibria (Nov. 12 lecture, 1:30-2:50, Rosenwald 011): Based on Judd-Yeltekin-Conklin (final version was published in Econometrica 71 (July, 2003), 1239-1254, but working paper version is much more readable) (Notes for lecture)

Notes for chapter 13 (pdf)

Notes for chapter 15 (pdf)

"Perturbation Methods" (Nov. 19 lecture, 1:30-2:50, Rosenwald 011): (Notes for lecture) Based on

        "Perturbation Methods for General Dynamic Stochastic Models" (with Hehui Jin) (pdf)

        "Perturbation Methods with Nonlinear Changes of Variables" (pdf)

Problem set 5 (pdf)

Notes for chapter 16 (pdf)

Notes for chapter 17 (pdf): includes material from

        "Solving Large-Scale Rational-Expectations Models," (with Jess Gaspar), Macroeconomic Dynamics 1 (1997), pp. 45-75. (working paper version - (pdf))

        "Asset Market Equilibrium with General Tastes, Returns, and Informational Asymmetries", with Antonio Bernardo, Journal of Financial Markets, 1 (2000), pp. 17-43 ( Journal of Financial Markets )

Problem set 6 - Final problem set (pdf)