Dynamic Math for Economists

I'm using this page for a course at Quinnipiac on DSGE Modelling for advanced undergrads and to explore and build a course on economic dynamics

Spring 2020 QU Independent Study in
DSGE Modelling of CEE Economies

Outline for the Math of the Course

First Part of the Course

  • Introduction to Difference Equations: Basics

  • Introduction to Differential Equations: Basics

  • Introduction to Time Series: Basics

  • Introduction to Time Series: The Expectations Operator

  • Introduction to Time Series: Calculating Impulse Response Functions

  • Introduction to Time Series: AR to MA processes

Second Part of the Course

  • Optimization: Review of Static Lagrangians

  • Optimization: Two-Period Lagrangians

  • Optimization: Two-Period Insights into Infinite Horizons and Bellman

  • Optimization: Infinite Horizon Lagrangians in Discrete Time

  • Optimization: Infinite Horizon Hamiltonians in Continuous Time

  • Solving Models: Phase Diagrams in Continuous Time

  • Solving Models: Linearizing around Steady State

  • Solving Models: Systems of Difference Equations

  • Solving Models: Systems of Differential Equations

Matrix Algebra

  • Basic Matrix Terms and Definitions ... PDF

  • Basic Algebra Operations

Economic Modelling Topics

  • Budget Constraints Part One: How To Think About and Model Them ... PDF

  • Budget Constraints Part Two

Graduate-Level Introduction to DSGE and Dynare

Eric Sims at Norte Dame has some of the best material to get into DSGE and to do it via Dynare.

Eric Sims Graduate Macro II class (2017)

  • Introductory Notes:

Preliminaries (Impluse Response Fns): pdf

Two period consumption-saving: pdf

Value function iteration: pdf

 

  • Using Dynare: pdf

 

  • More Advanced Material:

Review of neoclassical growth: pdf

Log-linearization: pdf

Solving linearized models: pdf
 

Ronald Shone had two great textbooks on Economic Dynamics and Math.  I think his approach was right: teach first how to solve the basic systems in excel and other programming languages, and then cover the math.  I'm trying to build on his insight.

Introduction to Economic Dynamics (a "non-math" treatment where everything is solved in Excel)

Economic Dynamics (a more "applied" math coverage of the material needed for dynamic analysis in Economics with examples in excel and Maple)

Stochastic Calculus and Asset Pricing Videos

*This material comes from John Cochrane who is a leading academic in the field of macroeconomics and finance.  I haven't watched all the videos yet, but they seem pretty good. He's a talented teacher.  Note: You need to know a decent amount of math already in order to follow his lectures.

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