Professors German Cubas and Bent Sorensen
Macro III (macro topics)
Tips on Presentations
Scheduling: Classes to be rescheduled: TBA if any.
Make-up classes: TBA if any.
Tentative Schedule, to be updated as we go along. Some topics may take more time than indicated and some less. The structure of the class will be similar to the 2018 class although we will take in some new topics.
Course structure (tentative):
We will have some homeworks followed by in-depth student presentations (a full class each, but we will help you) and a final project.
We will cover econometric methods commonly used for more (or less) structural models. We will start with the econometric tools and then we will cover some recent and/or influential articles that uses these tools. Everything is tentative and we may shift focus if we come across something new and exciting.
Note on Structural VARs.
GMM Notes part 1
GMM Notes part 2
GMM Notes part 3
Andersen-Sorensen GMM 1996 (about estimating a Stochastic Volatility model, but the paper illustrates clearly some features of GMM estimation, which is why it is included here). Stochastic volatility models are important in finance, but volatility has lately become more important in macr0. (For example, the modeling of ``uncertainty shocks'' is very fashionable.)
Andersen-Sorensen EMM 1999
Alastair Hall's GMM resources You may want to check out the lecture (as a supplement to the class's lectures) and Kostas Kyriakoulis's GMM Toolbox for MATLAB, which is linked there.
Hansen-Singleton GMM program, the data
Some VAR notes by Christopher Sims and Stock&Watson (skim these, or read them, we will not expect you to know details)
Blanchard-Quah paper (you don't need to know the detail, but know the logic of imposing long-run constraints)
Paper by Barsky and Eric Sims (this way of using VARs may become more common)
German's slides on heterogeneity in macroeconomics
German's slides on estimation of income processes
Homework 1: Data homework. Due first class after Labor Day.