MacroEconometricsF2019 Macroeconometrics

Fall 2019       Instructor: Bent E. Sorensen

No class: Wednesday September 4th and November 25th (last day of classes)

No lecture: Monday October 21st. You are required to meet with me and commit to topic for you presentation. I would like like you to come to my office and talk about this in advance, but this is the deadline for you to commit (subject to revision, that is fine, but I need to know what your moving ahead with

Make-up classes: TBA. We will have some classes and/or student presentations after Thanksgiving.


To pass the class: Occasional homeworks, one (or two?) presentations, a final project.

August 26th, I will finish the Kalman Filter/Smoother and then I will talk loosely about subfields of macroeconometrics for a couple of classes, see list below, to give you an idea of what is available, before we continue doing some of the fields more rigorously with programming. I will add references (in particular to surveys or survey-like articles as we go along)

A good place to look for summaries of econometric topics is the list of NBER lectures. NBER econometrics lectures

One good way to get an idea for your class project is too look at recent issue of the American Economic Review or American Economic Journal: Macroeconomics. These journals request authors to post their data (if feasible). Notes:

Notes on Kalman Filter .

Notes on Unit Roots .

Notes on Cointegration .

Notes on The APT and Static Factor Analysis .

Homework #  ;Due

Homework 1        Matlab code loops Matlab code loops     Mon Sep 9

           Gauss code

Homework 2                              Mon Sep 9

Homework 3                               Mon Oct 21