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Econometric Methods II (Second Half) PhD Course, Economics Department, Universitat Pompeu Fabra and Barcelona GSE, 2010 Tuesdays 11am-1pm (20.051) and Thursdays 3pm-5pm (20.053) Overview This half of the course aims at equipping students with some of 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. Homework 1 (due 24.00 Tuesday May 25) Homework 2 (due 24.00 Wednesday June 9) Exercise Questions for midterm Lecture 1 Introduction Lecture 2 Cointegration Lecture 3 Structural VARs: Identification Lecture 4 Structural VARs: IRFs, Historical decompositions and some critiques Lecture 5 Factor models Lecture 6 State space models and the Kalman filter Lecture 7 Kalman filter applications Lecture 8 Numerical maximization of the likelihood function Lecture 9 Introduction to Bayesian estimation of DSGE models |