Accomodation Guide For Erasmus Mundus Scholars 

I had to get a residence permit for each country. You can reside in other Schengen areas with Schengen visa for only 3 months.

Some schools might have in other countries, but the countries I lived in, the schools don't have hostel. There are housing agencies which had affiliation with the universities, so you can apply through those agencies. You really need to find out the peculiar case for the city and country you are moving to. It's different for different places