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Econometric Methods II PhD Course, Economics Department, Universitat Pompeu Fabra and Barcelona GSE, 2011 Mondays and Tuesdays 11am-1pm (20.049) Overview This 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 the etxt book New Introduction to Multiple Time Series Analysis by Helmut Lutkepohl (Berlin: Springer-Verlag, 2005) or in Cochrane's text but reading articles may also be required. Homework 1 (due 24.00 Friday April 29) Homework 2 (due 24.00 Wednesday May 18) Homework 3 (due 9.00 Monday June 6) Homework 4 (due 13.00 Thursday June 16) Readings Lecture 1 Overview and introduction Lecture 2 Linear Stochastic Difference Equations Lecture 3 Estimating VARs using orthogonal projections Lecture 4 Specification of VARs Lecture 5 Identification of Structural VARs Lecture 6 Identification of Structural VARs II Lecture 7 Cointegration Lecture 8 Cointegration II Lecture 9 Factor models Lecture 10 Presentations of Homework II Lecture 11 Forecasting Lecture 12 State space models and the Kalman filter Lecture 13 Kalman filter applications Lecture 14 Numerical maximization of the likelihood function Lecture 15 Presentations of Homework III Lecture 16 Introduction to Bayesian estimation Lecture 17 Bayesian estimation of DSGE models Lecture 18 Baysian model averaging and model comparison Lecture 19 Presentations of Homework IV |