Advanced Topics in Macroeconomics

This is a topics course intended for students using time-series data to conduct macroeconomic analysis in their master’s thesis. Enrollment is not recommended for students who do not already have a background in Bayesian estimation and time-series analysis. 

• Tue. and Fri. 1-2 period (8:50 - 10:30)

• Schedule

1. (10/ 3 ) Guidance

2. (10/ 7 ) Bayesian estimation 1

3. (10/10) Bayesian estimation 2

4. (10/14) Vector Autoregressive model 1: Reduced-form VAR, estimation method, IRF [Slide] [Code]

5. (10/17) Vector Autoregressive model 2: Structural VAR, short-run restrictions, FEVD, HD

6. (10/21) Vector Autoregressive model 3: Long-run restrictions, sign restrictions

7. (10/24) Vector Autoregressive model 4: Max-share identification

8. (10/28) Markov-switching model 1

9. (10/31) Markov-switching model 2

10. (11/ 7 ) State-space model 1

11. (11/11) State-space model 2

12. (11/14) Smooth-transition model 1

13. (11/18) Smooth-transition model 2

14. (11/21) Buffer