Macroeconometrics

obowiązkowe

This course provides a survey of empirical research techniques used in modern macroeconomic research.

As a graduate course, it demands completion of undergraduate instruction in econometrics.

Assessment is based on a written end-term exam. Final grade is 60% exam and 40% problem sessions (estimation of model)

Exam questions are given in advance but the exam is closed-book.

Remarks:

Prerequisites: intermediate courses in econometrics, probability, and statistics.

Systems of simultaneous equations [1,2,3]

- structural and reduced forms (multipliers and structural parameters)

- identification

- endogeneity, simultaneity and Haavelmo bias

- estimation methods - partial and full information methods (OLS, 2SLS, 3SLS,FIML)

Univariate dynamic models [4,5,6]

- ADL models

- General to specific analysis

- Short and long run multipliers, mean lag

- Long run equilibrium, steady state

- Geometric lags (Koyck transformation), Almon lags

- Seasonality

- Polynomials of lag operator

- Integration and cointegration, ECM and Granger theorem (unit root tests, two step Eagle-Granger procedure)

Multivariate dynamic models [7,8,9]

- Sims critique of classical structural models

- VAR model - definition

- Granger causality

- Impulse response analysis (unit and orthogonal shocks)

- SVAR - structural shock analysis

- VECM and Johansen test, identification of cointegrating vectors

- Structural breaks (CUSUM, Chow test)

Forecasting [10]

- Forecasting with ARIMA models

- Forecasting with VAR and VECM

- Forecast variance decomposition

- Forecast tests

Estimation of models based on rational expectation assumption [11]

- Formulation of moments restrictions

- Model based on rational expectations assumption

- GMM estimation and testing

Real business cycles, general equilibrium and calibration methods [12]

- Lucas critique of simultaneous equations models

- General equilibrium and real business models - estimation problems

- Benchmarking and solving for parameters values

- Comparison of calibration vs. econometric techniques

Signal extraction, smoothing, filters and state space models [13]

- Beveridge-Nelson decomposion

- Hodrick-Prescott decomposition

- State space models

- Kalman filter

- Applications of state space models

Required readings:

- W. Charemza, D. Deadman, New Directions in Econometric Practice: General to Specific Modelling, Cointegration and Vector Autoregression, 2nd edition, Edward Elgar, 1997

- William Greene, Econometric Analysis, Prentice Hall 2003

Suggested readings:

- W. Enders, Applied Econometric Time Series, John Wiley and Sons, 1995

- J.J. Heckman, E. Leamer, Handbook of Econometrics, Elsavier Science, 2001

KW01, KW02, KW03, KW04, KW05, KU01, KU02, KU03, KU04, KU05, KU06, KU07, KK01, KK02, KK03