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