Course - Identification analysis and global sensitivity analysis for Macroeconomic Models, Milaan

The scope of the course is to give a general introduction to methods of identification and global sensitivity analysis, their DYNARE implementation (identification toolbox and global sensitivity analysis toolbox) and their application to Dynamic Stochastic General Equilibrium (DSGE) macroeconomic models.

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 unique saddle-path solution of DSGE models?

What drives the sign and magnitude of impulse response functions? Of cross-correlations/auto-correlations of endogenous variables?

Which structural parameters mainly drive the fit of GDP of consumption and which the fit of inflation? Is there any trade-off?

Is it possible identifiable and non-identifiable parameters before starting estimation? Is it possible to assess ex-ante the strenght of identification of parameters in estimated DSGE models?

These questions often arise while analysing and estimating the DSGE models: identification analysis and global sensitivity analysis (GSA) can help us in answering these questions.

The course will also provide a general introduction to DYNARE.

DETAILS

The course is organised by Marco Ratto, Joint Research Centre (JRC) of the European Commission and Domenico delli Gatti, Università Cattolica del Sacro Cuore (Milano).

It will be animated by: Marco Ratto, Stefan Hohberger, Ronal Muresano Caceres (JRC Unit G.01), Matthias Burgert (ECFIN Unit B.3).

External Speakers: Johannes Pfeifer (Univ. Mannheim), Michel Juillard (Banque de France), Junior Maih (Norges Bank).

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. We will provide Wi-Fi access, 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; see http://www.dynare.org/download/octave for details on GNU Octave installation).

VENUE

Università Cattolica del Sacro Cuore

Largo A. Gemelli, 1

20123 Milan (Italy)

FEE

No fee is due. Participants will have to take care of their own travel and accommodation expenses.

REGISTRATION

Registrations are open until April 30, 2016.

Please confirm individually your participation as soon as you can by registering on line by and not later than April 30, 2016 as follows:

• 1) 

  Register or login to ECAS (the European Commission Authentication Service) from the link:

https://web.jrc.ec.europa.eu/rem/

• 2) 

  Direct link to the registration page (when already registered to ECAS):

https://web.jrc.ec.europa.eu/rem/app.html#/subscription-form-screen/meet...

You can access your registration at any moment in order to MODIFY and UPDATE it.

A maximum of 40 (forty) registrations will be accepted.

For any questions please do not hesitate to contact the course secretariat:

JRC-ADMINISTRATION-G01@ec.europa.eu

Tel: +39 0332/783849