Empirical Methods for Macroeconomics
Spring 2019
Aeimit Lakdawala
Spring 2019
Aeimit Lakdawala
Syllabus
Lecture Notes:
1) Intro to Bayesian Econometrics
3) Linear State Space Models
4) Time-varying Parameter Models
5) Regime-switching Models
6) Non-linear Models
Assignments:
Misc:
Solving Rational Expectations Models
Lecture Notes:
1) Intro to Bayesian Econometrics
- Intro
- Numerical Bayesian Methods I
- Numerical Bayesian Methods II
- Convergence diagnostics for MCMC
- Marginal Likelihood
- Intro to Bayesian Analysis of VARs
- Intro to Structural VARs
- CEE (2005)
- Del Negro & Schorfheide (2004)
- Boivin & Giannoni (2006)
- SVAR Identification with External Instruments
- High Frequency Instrument: Monetary Policy Shocks
- Narrative Instrument: Tax Shocks
3) Linear State Space Models
- Intro to Linear State Space Models
- Bayesian Analysis of Linear State Space Models
- DSGE Estimation and discussion of Smets & Wouters (2007)
- Del Negro, Schorfheide, Smets & Wouters (2007)
4) Time-varying Parameter Models
- Intro & discussion of Cogley & Sargent
- Stochastic Volatility
- Primiceri (2005)
- Sargent, Williams & Zha (2006)
- Orphanides
- Primiceri (2006)
- Justiniano & Primiceri (2008)
5) Regime-switching Models
- Intro to regime-switching
- Bayesian Analysis of regime-switching models
- State space models with regime-switching
- Bayesian Analysis of state space models with regime-switching
- Sims & Zha (2006)
- Bianchi (2012)
- Debortoli & Lakdawala (2016)
6) Non-linear Models
Assignments:
- HW 1: Data1 (Due date: Tu Jan 29)
- HW 2: Data1 (Due date: Tu Feb 19)
- HW 3: Data (Due date: Th Mar 14)
- HW 4: Data, AS (2007) paper (Due date: Tu Apr 9)
Misc:
Solving Rational Expectations Models