ECON 7300 Tools for Applied Macro I

PhD Course, Economics Department, Cornell University, Spring 2017

Mondays and Wednesdays 10:10-11.25 (URH488)


This course aims at equipping students with the tools needed to produce applied macro economic research.


Problem Set I

Problem Set II

Problem Set III

Problem Set IV

Exercise Questions

New Introduction to Multiple Time Series Analysis by Helmut Lutkepohl (free download for Cornell students)
Here is a link to Cochrane's text.

Lecture 1 Overview and Markov Chains
Ljungqvist and Sargent Ch. 2

Lecture 2 Linear Difference Equations and Lag Operators
Hamilton Ch. 1-2

Lecture 3 Stationary ARMA Models
Hamilton Ch. 3 Cochrane Ch 5-6

Lecture 4 Time Series as Elements in a Hilbert Space Part I
Brockwell and Davis Ch 2
Steven Durlauf's lecture notes on Linear Space Theory

Lecture 5 Time Series as Elements in a Hilbert Space Part II
Steven Durlauf's lecture notes on The Hilbert Space Approach to Time Series
Notes on the Projection Theorem

Lecture 6 Maximum Likelihood Estimation
Hamilton Ch.5
Slides on Numerical Maximization

Lecture 7 Estimating Vector Autoregressions (VARs)
Hamilton Ch.8.1, 10.1, 11.1 and Lutkepohl Ch 4.1, 4.2, 4.3

Lecture 8-10 Structural VARs: Identification
Slides on choosing lag order
Hamilton Ch 11.4 -11.6, Cochrane Ch 7.1-7.2
Kilian Handbook Chapter

Leeper, Sims and Zha (1996)

Cochrane Ch 7.1-7.2
Blanchard and Quah (1989)
Rudebusch (1998)
Sims(1996!) response to Rudebusch (1998)
Gali(1999) Chari, Kehoe and McGrattan (2008) Ellen McGrattan in multimedia format

Lecture 11 Factor models
Stock and Watson (2010) and Bernanke, Boivin and Eliasz (2005)

Lecture 12 State Space Models and the Kalman Filter
Lecture notes on the Kalman Filter
Slides on Kalman Filter and State Space Systems

Lecture 13 State Space Systems and MLE
Hamilton Ch 5
Goffe et al (1994)
Notes on Solving RE models
Matlab code