Econometric Methods II (Second Half)

PhD Course, Economics Department, Universitat Pompeu Fabra and Barcelona GSE, Fall 2008

Tuesdays 3pm-5pm (20.019) and Thursdays 5pm-7pm (20.047)
Office Hours: Mondays 10am-12am, Room 23.408
Midterm: Tuesday June 23, 3pm-5pm, Room 20.233

Overview

This half of the course aims at equipping students with the tools needed to produce applied macro economic research. Most of the material can be found in a combination of Hamilton's textbook and Cochrane's text, but reading articles may also be required.

Syllabus

Homework 1 (due 17.00 Thursday June 11)
HW1data

Homework 2 (due 17.00 Tuesday June 30)
HW2data

Exercise Questions for midterm

Lecture 1 Cointegration
Hamilton Ch 19.1

Lecture 2 More Cointegration
Hamilton Ch 19.2 and Cochrane Ch 11

Lecture 3 Structural VARs: Identification
Hamilton Ch 11.6, Cochrane Ch 7.1, Leeper, Sims and Zha (1996) and Blanchard and Quah (1989)

Lecture 4 Structural VARs: Impulse response functions and variance decompositions
Hamilton Ch 11.4 and 11.5, Cochrane Ch 7.1 and 7.2
Example slides and Example MatLab code

Lecture 5 Structural VARs: Historical decompositions and some critiques
Rudebusch (1998)
Sims(1996!) response to Rudebusch (1998)
Chari, Kehoe and McGrattan (2008) Ellen McGrattan in multimedia format

Lecture 6 State space models and the Kalman filter
Lecture notes on the Kalman Filter

Lecture 7 Numerical maximization of the likelihood function
Hamilton Ch 5.7
Goffe et al (1994)
Slides and MatLab Code from class

Lecture 8 Random Walk Metropolis Algorithm
An and Schorfheide (2007)
Slides and MatLab Code from class

Lecture 9 Combining sample and prior information and computing probability intervals
Slides