Macroeconometrics 2400-ICU1MAR
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
Type of course
Course coordinators
Learning outcomes
KW01, KW02, KW03, KW04, KW05, KU01, KU02, KU03, KU04, KU05, KU06, KU07, KK01, KK02, KK03
Bibliography
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
Additional information
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