Advanced Macroeconomics, Economics 521 Fall 2011

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Contact Information

Chris Sims

Course Materials

Readings, plus an exercise on rational inattention
An R file that calculates the objective function for the exercise is here. This file computes analytic derivatives as well as the function value. The objective function is really badly behaved if some elements of the solution distribution are zero. So start by constraining some rows of the matrix of joint probabilities of x and y to be zero, e.g. use only x=2,3,4 or x=1, 3, 5. Then, if now row is zero in the solution, the penalty function part of the objective is not invoked near the solution. If you are writing your own code (e.g. in matlab), you might not need the analytic derivatives if you avoid trying to find solutions in which some elements of the marginal density for x are zero. This R code works correctly with csminwelNew.R, csminit.R, and bfgsi.R at directory.
Decision Theory Readings
Clarification of examples in decision theory lecture
Answers to questions 3-5 from final exam
CDF of total scores

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