**Empirical Methods for Dynamic
Macroconomics**

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

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.

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)

Bayesian Computational Methods

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

Geweke, ch. 4

- Lecture
notes: A Point of Departure: MLE and Maximum Posterior Estimation
- Problem set 1:
Asymptotic approximation to a posterior for a DSGE model Due Wednesday
September 18
- Lecture
notes: Higher-Order Expansions, Numerical Integration, and Non-Iterative
Monte Carlo Methods
- Problem set 2:
Importance and rejection sampling for a DSGE model Due Wednesday
October 2
- Lecture
notes: Markov Chain Monte Carlo Algorithms
- Lecture
notes: Applications of MCMC
- Problem set 3: Simulating
the posterior for a DSGE model via a Metropolis-Hastings algorithm Due
Wednesday October 16
- Lecture
notes: Introduction to Particle Filtering
- Problem set 4:
Evaluating a likelihood function via a particle filter Due Wednesday
November 27
- Gordon,
Salmond, and Smith, Novel Approach to Nonlinear/Non-Gaussian Bayesian
State Estimation
- Pitt
and Shephard, Filtering Via Simulation: Auxiliary Particle Filters
- Durham
and Geweke, 2012 Adaptive Sequential Posterior Simulators for Massively
Parallel Computing Environments

Bayesian VARs

Canova,
ch. 10

- Del
Negro and Schorfheide, 2004, Priors from General Equilibrium Models for
VARs
- Cogley and Sargent,
2005, Drifts and Volatilities: Monetary Policies and Outcomes in the
Postwar US
- Cogley,
2005, Changing Beliefs and the Term Structure of Interest Rates:
Cross-Equation Restrictions with Drifting Parameters
- Uhlig,
2005, What are the effects of monetary policy on output? Results from an
agnostic identification procedure
- Gambetti,
Pappa, and Canova, 2008, The Structural Dynamics of US Output and
Inflation: What Explains the Changes?

Stochastic Volatility Models

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

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

Bayesian Estimation of DSGE Models

Canova,
ch. 11

- An
and Schorfheide, 2007, Bayesian Analysis of DSGE Models
- Lubik and
Schorfheide, 2004, Testing for Indeterminacy: An Application to U.S.
Monetary Policy
- Smets and Wouters,
2007, Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach
- Justiniano
and Primiceri, 2008, The Time-Varying Volatility of Macroeconomic
Fluctuations
- Fernandez-Villaverde
and Rubio-Ramirez, 2007, Estimating Macroeconomic Models: A Likelihood
Approach
- Fernandez-Villaverde,
Guerron-Quintana, and Rubio-Ramirez, 2013, Estimating Dynamic Equilibrium
Models with Stochastic Volatility

Higher Order Approximations for DSGE Models

- Lecture
notes: Introduction to Perturbation Methods for Constructing Higher Order
Approximations to DSGE Model
- Schmitt-Grohe
and Uribe, 2004, Solving Dynamic General Equilibrium Models using a
Second-Order Approximation to the Policy Function
- Jin
and Judd, 2002, Perturbation Methods for General Dynamic Stochastic Models
- Den Haan
and De Wind, 2012, Nonlinear and Stable Perturbation-Based Approximations
(Appendix)

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

·
Sims, 2003, Probability
Models for Monetary Policy Decisions

Cointegration

Hamilton, chs. 19-20

Lecture notes are coming
soon.

Balanced Growth

Canova, ch. 3

- King,
Plosser, Stock, and Watson, 1991, Stochastic Trends and Economic
Fluctuations
- Fisher,
2006, The Dynamic Effects of Neutral and Investment-Specific Technology
Shocks
- Lettau and
Ludvigson, 2013, Shocks and Crashes

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

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

Term-paper presentations