Vector Autoregressions (VARs)

A brief overview on Vector Autoregression models (VARs). The notes (which are a companion to the VAR Toolbox) explain how to estimate reduced form VARs; how to identify structural shocks with zero short-run restrictions (Cholesky); zero long-run restrictions (Blanchard and Quah); sign restrictions (Rubio-Ramirez, Waggoner, and Zha); external instruments or proxy SVAR (Stock and Watson & Mertens and Ravn); and a combination of external instruments and sign restrictions (Cesa-Bianchi and Sokol); how to compute Impulse Response Functions (IRFs), Forecast Error Variance Decomposition (FEVDs), and Historical Decompositions (HDs); and show how to replicate some "famous" papers with the VAR Toolbox.

[Slides]

A primer on Global Vector Autoregressions (GVARs)

Explanatory notes on the basic functioning of Global Vector Autoregressive (GVAR) models. The notes build a very simple GVAR model as an example to provide intuition; describe the econometrics behind the model; and present two GVAR applications on the international transmission of shocks.

[Slides]

Financial Frictions á la Carlstrom & Fuerst

Notes on the financial frictions model of C. Carlstrom and T. Fuerst. (1997), “Agency Costs, Net Worth, and Business Fluctuations: A Computable General Equilibrium Analysis.” American Economic Review 87 (5):893–910. All the equations of both the costly state verification model of and the general equilibrium model are derived in detail.

[Notes]

Methods in Macroeconomic Dynamics

A review of the basic macro models and the mathematical tools needed to solve them. The notes cover the following topics: (i) differential calculus and linearization, (ii) the Solow model, (iii) the Ramsey-Cass-Koopmans optimal growth model, (iv) stochastic difference equations, and (v) the basic stochastic growth model.

[Notes]