Monte carlo simulation for macroeconomist I would like to know if it is useful to learn Monte Carlo simulations if I want to focus on macroeconometrics ? Or even is it useful outside of academics ?
The main challenge in macroeconometrics as opposed to microeconometrics is a the small sample size, because of short recorded time-series and less than 200 countries providing data. To get around this problem increasingly the more popular approach is Bayesian estimation, which often relies Monte Carlo Markov Chains to construct the posterior distribution of the parameter.
So if you want to understand how the results are obtained, you will need to have a rather deep knowledge of the topic.