Wouter J. den Haan是 LSE经济学教授，EJ主编。专长为实证宏观、时间序列。

他写了一些很好的DSGE方面的教学材料。我把网址贴在下面，感兴趣的可以自行下载;

http://www.wouterdenhaan.com/notes.htm



Wouter J. den Haan - Teaching notes & slides
Getting started with DSGE models:

Notes:

• Dynamic Optimization Problems: basic stuff on getting first-order conditions, transversality conditions, state variables, and dynamic programming.
• Equilibrium Models: continuation but now using equilibrium infinite-horizon (mainly monetary models) and OLG models
  

Slides:

• BC facts and intro to DSGE models
• intro to DSGE models continued
• dynamics in DSGE models
• OLG models
  

Empirical macro:

Notes:

• Notes on filtering and frequency domain
  

Slides:

• Slides on filtering and frequency domain
• Slides on IRFs and VARs
• GMM and HAC consistent standard errors for business cycles statistics .
  

Numerical methods

Notes:

• Function approximation .
• Numerical integration .
• Perturbation: Simple exposition and relation with (modified) LQ.
• Parameterized Expectations "Stochastic" and "non-stochastic (or projections) PEA.
• Hetero Models "Survey paper on solving and simulating models with heterogeneous agents and aggregate uncertainty.
  

Slides:

• Intro to numerically solving DSGE models .
• Function approximation .
• Numerical integration .
• perturbation
• Blanchard-Kahn conditions
• projection methods
• parameterized expectations algorithm PEA
• Value Function Iteration versus Euler equation methods.
• accuracy tests.
• Intro to solving models with heterogeneous agents
• algorithms to simulate models with heterogeneous agents
• algorithms to solve models with heterogeneous agents with the KS algorithm
• algorithms to solve models with heterogeneous agents with the XPA algorithm
• algorithms to solve models with heterogeneous agents with other algorithms
• Checking for accuracy in models with heterogeneous agents
• Applications of the above slides on algorithms for models with heterogeneous agents
• Solving models when agents have heterogeneous beliefs
  

Bayesian estimation

Slides:

• Kalman filter and Bayesian estimation of DSGE models
  

Dynare

Slides:

• solving models with perturbation & some tricks
• simulating higher-order solutions & pruning
• estimation
  

Software:

• programs related to solving and estimating with Dynare
  

Underlying theory:

• In the numerical methods section, there are notes and slides on the theory of perturbation and Blanchard-Kahn conditions
  

Learning and bounded rationality

Slides:

• Learning in macroeconomic models
• Bounded rationality
• Learning Sunspots in nonlinear models
• Solving models when agents have heterogeneous beliefs