DYNARE Course - Identification analysis and global sensitivity analysis for Macroeconomic Models 2019

In this course, participants receive a general introduction to:

• methods of identification and global sensitivity analysis,
• their DYNARE implementation (identification toolbox and global sensitivity analysis toolbox)
• their application to Dynamic Stochastic General Equilibrium (DSGE) macroeconomic models
• techniques for improving speed of estimations in DYNARE

Registration

The course will be open to a maximum of 30 qualified and selected participants.

Please apply online

Extended Deadline: 11.59 pm of August 19th, 2019.

Successful applicants will receive a confirmation email by no later than September 16, 2019.

Objective

Identification analysis and global sensitivity analysis (GSA) can help us in answering these questions:

• What is the stability region of a DSGE model? Which structural parameters mainly drive the unique saddle-path solution of DSGE models?
• What drives the sign and magnitude of impulse response functions? What parameters are mostly responsible for cross-correlations and auto-correlations of endogenous variables?
• Which structural parameters mainly drive the fit of observables (e. g., GDP and consumption)? Is there any trade-off?
• Is it possible to determine identifiable and non-identifiable parameters before starting estimation? Is it possible to assess ex-ante the strength of identification of parameters in an estimated DSGE models?

Agenda

• DYNARE Introduction
• Estimation
• Global Sensitivity Analisys Introduction
• Monte Carlo Filtering
• Kalman Filtering in DYNARE
• Identification analysis of DSGE models
• Parallel DYNARE
• Slice Sampling
• One Minute Madness, Hands-on sessions and exercises

Audience

Although the course is mainly addressed to DYNARE users, it will provide a general introduction for estimating models to DYNARE.

Workshop Animators

• Stéphane Adjemian (Univ. Maine)
• Ludovic Calés (JRC)
• Roberta Cardani (JRC)
• Olga Croitorov (JRC)
• Fabio Di Dio (JRC)
• Lorenzo Frattarolo (JRC)
• Massimo Giovannini (JRC)
• Stefan Hohberger (JRC)
• Michel Juillard (Banque de France)
• Willi Mutschler (Univ. Münster)
• Johannes Pfeifer (Univ. Köln)
• Marco Ratto (JRC)

Organisation

This is a "laptop only" workshop; Each participant is required to bring his/her laptop computer with MATLAB version 7.5 (R2007b) or above installed.

Wi-Fi is accessible, but participants should not rely on it to access a MATLAB license server at their own institution.

As an alternative to MATLAB, it is possible to use GNU Octave (free software, compatible with MATLAB syntax).

Fees, travel and accommodation

No fee for the course is due. Lunches, coffee breaks, a social dinner on November 21st, and course notes are provided.

Organisers will provide connections between the JRC and Milan Airports (Malpensa and Linate) and the Milano Centrale Train Station on the days of arrival and departure.

We also organize two daily connections (morning and late afternoon) between the course venue and the hotel.

The organisers have pre-booked rooms in a nearby hotel for three nights (19 to 22 November). Further information will be provided to the selected candidates.

Participants will have to cover their travel and accommodation expenses.

Contact

For any questions, please email: monica [dot] tosettoec [dot] europa [dot] eu (JRC-MACRO-GSA-COURSE[at]ec[dot]europa[dot]eu)

Venue

European Commission, Joint Research Centre, Ispra site
via E. Fermi 2749
21027 Ispra (VA), Italy

Venue

Ispra, IT