For the first class, I will talk loosely about what we do. I will also talk a little about structural/non-structural modeling (read the Summers’ article, I have linked below before class). It would be good if you express your interests as the content of the course is somewhat plastic. The course will be followed in the Spring by Dynamic Macroeconomics II, which likely will focus on working through very recent working papers/articles and you can, to a large extent, follow up on what you do in this class in the Spring.
Please pick a topic for class presentation by October 11. Also choose a (preliminary date), starting October 16th ending Dec 9 (no class on Oct 30).
You should present a full class, but think of it as a cooperation (I often speak a lot). You HAVE TO make slides and go over them with me in advance (and preferably we will post them on the class page).
Scheduling: Classes to be rescheduled so far 8/26. 8/28, 10/2, 10/30.
Make-up classes: Tue 9/10 (2.30-4.00), Tue 9/17 (2.30-4.00)
Final: December 9 (in class)
Midterm: Monday October 14th.
Midterm exam 2007 (not graded)
Topics (chapters in Ljungqvist and Sargent, unless otherwise noted):
You might want to consult the WEB-page for the 2011 class to see what we did last year. I plan to not change it, but there is a possibility I will do---I am willing to follow student demand to some extent.
Course structure (tentative):
A midterm and 8-10 homeworks followed by in-depth student presentations (a full class each, which in practice means that I do half the talking to help make things understandable to the rest of the class).
(I insist on homeworks and midterm because my experience is that too many people do not not study properly without these proddings.)
Topics covered (I will start with the first one which is just one lecture to get you to think about the role of empirical work).
1) Introduction (empirical methods in macro,)
2) VAR (focus on interpretions of structural VARs and applications in macro)
3) GMM (how to do, applied perspecitive---I will not prove any econometrics results)
4) Panel data
5) Introduction to dynamic programming (Sargent and Ljungquist)
6) A Midterm
7) In previous years, we have done student presentations after midterm – with students choosing a chapter from Sargent-Ljungquist (large chapter can be 2 students) because this is an influential text written in a different style than most students are used to so it is good if we get exposed as much as possible to this. Or a recent working paper that fits with the material of the class. This year I want to have some computational stuff which I haven’t done before so we will decide as we go along how much time to spend on that.
Note on Panel Data (revised a bit, 9/23)
The data are in GAUSS format and you should download to the PC and unzip. You will need to change the paths for loading and the outfile.
GMM Notes part 3 (The first 2 pages are the most important. The theory is not going to be on exam.)
Homework 1: Read the article The Scientific Illusion in Empirical
Lawrence H. Summers,
Student Prensentations (LS is
10/23 Jake: Credit and Currency (LS)
10/28 Celine: Growth (LS Chapter)
11/4 Edson: Practical Dynamic Programing (LS)
11/6 Sanjukta: Growth (OR Chapter 7)
11/13 Subash: Asset Pricing (LS part)
11/13 Husein: Ricardian Equivalence (LS) NOTE: This is a second class on the same day, 2.30-4.00 pm
11/18 Bocong: Assset Pricing (LS part)
11/20 Sophia: Growth
12/2 Pavlo: Fiscal Policy in a Growth Model (LS)
12/4 Emre: Cagan Model (OR, ch 8)