Empirical Methods for Dynamic Macroconomics

Fall 2013

                       

            The course meets on Wednesdays from 1-3 pm in 624 19 W. 4th St. Office hours are by appointment.

           


Assignments and Grades

 

The main assignment is to write a term paper that replicates a published paper or a recent working paper in empirical macroeconomics.  Before the end of week 3, you should submit the title for my approval.  If you want to discuss a paper’s suitability, talk to me before the deadline. Conference-style presentations will be held at the end of the semester.  Your term paper and presentation will count for two-thirds of your grade.  A number of problem sets will also be assigned and will count for the remaining one-third. 

 


Readings

 

Links to articles are posted below.  I also recommend the following books,

 

“Time Series Analysis” by James Hamilton (Princeton University Press)

“Methods for Applied Macroeconomic Research” by Fabio Canova (Princeton University Press)

“Bayesian Data Analysis” by A. Gelman, J.B. Carlin, H.S. Stern, and D.B. Rubin (Chapman and Hall)

“Contemporary Bayesian Econometrics and Statistics” by John Geweke (Wiley Interscience)

 


Introduction to Bayesian Econometrics

 

Canova, Ch. 9

Gelman, et. al., chs. 1-4, Appendix B (Feel free to skip the examples in sections 1.4, 1.6, and 3.7)

Geweke, chs. 1-3

 


Bayesian Computational Methods

Gelman, et. al., chs. 9-11

Geweke, ch. 4

 


Bayesian VARs

Canova, ch. 10

 


Stochastic Volatility Models

·        Jacquier, et al. 1994, Bayesian Analysis of Stochastic Volatility Models

·        Kim, Shephard, and Chib, 1998, Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

·        Cogley and Sargent, Measuring Price Level Uncertainty and Instability in the US, 1850-2012

 


Bayesian Estimation of DSGE Models

Canova, ch. 11

 


Higher Order Approximations for DSGE Models

 


Model Averaging

 

·        Lecture notes: Bayesian Model Averaging

·        Amisano and Geweke, 2012, Prediction Using Several Macroeconomic Models

·        Cogley and Sargent, 2005, The Conquest of US Inflation: Learning and Robustness to Model Uncertainty

·        Cogley, De Paoli, Matthes, Nikolov, and ­Yates, 2011, A Bayesian Approach to Optimal Monetary Policy with Parameter and Model Uncertainty

·        Sims, 2003, Probability Models for Monetary Policy Decisions

 


Cointegration

Hamilton, chs. 19-20

 

Lecture notes are coming soon.

 


Balanced Growth

 

Canova, ch. 3

 


Misspecified Rational-Expectations Models

·        Sims, 1993, Rational Expectations Modeling with Seasonally Adjusted Data

·        Hansen and Sargent, 1993, Seasonality and Approximation Errors in Rational Expectations Models

·        Cogley, 2001, Estimating and Testing Rational Expectations Models when the Trend Specficiation is Uncertain

·        Canova, 2012, Bridging Cyclical DSGE Models and the Raw Data

 


Term-paper presentations