Matlab code to compute the filter, smoother, simulation smoother and to
plot state distributions for both the modified and standard filter.
Combining Multivariate Density Forecasts using Predictive Criteria
with Hugo Gerard, August 2008
Earlier version available as Reserve Bank of Australia RDP 2008-2, May 2008
Indicator Accuracy, Welfare and Monetary
Policy
Revised October 2005. A very early version (with different title) is available as Sveriges Riksbank Working Paper Series Nr 157
Publications
A Medium-Scale New Keynesian Open Economy Model of Australia
with Jarkko Jaaskela
Economic Record 2011.
Monetary Policy with Signal Extraction from the Bond Market
Journal of Monetary Economics 2008.
Supplementary material
Earlier version available as Reserve Bank of Australia Research Discussion Paper 2006-5
A Structural Model of Australia as a Small Open Economy
Australian Economic Review 2009.
Also available as Reserve Bank of Australia Research Discussion Paper 2007-01
and online at Blackwell Synergy www.blackwellsynergy.com
Dynamic Pricing and Imperfect Common Knowledge
Journal of Monetary Economics 2008.
Technical Appendix
MatLab Code
Earlier version (with different title) available as ECB Working
Paper Nr 474
Teaching
Signals, Beliefs and Unusual Events
ERID Lecture, Duke University, January 2013
Topics in Macroeconomics: Modelling Information, Learning and Expectations
PhD Course, Universitat Pompeu Fabra and Barcelona GSE, Spring 2013
Econometric Methods II (Time Series)
PhD Course, Universitat Pompeu Fabra and Barcelona GSE, Spring 2013
Temes de Macro: Macro Modelling at Central Banks
Undergraduate Lectures, Universitat Pompeu Fabra, Spring 2013
Reading package Lecture 1
Slides Lecture 1
Reading package Lecture 2
Slides Lecture 2
Reading package Lecture 3
Slides Lecture 3
SVAR Exercise
Modelling Information, Learning and Expectations in Macroeconomics
PhD Course, New York University, Spring 2008
