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) @Room508
Schedule
(10/ 3 ) Guidance [Quiz]
(10/ 7 ) Bayesian estimation 1 [Slide]
(10/14) Vector Autoregressive model 1: Reduced-form VAR, estimation method, IRF [Slide] [Code]
(10/17) Vector Autoregressive model 2: Structural VAR, short-run restrictions, FEVD, HD [Slide] [Code]
(10/21) Vector Autoregressive model 3: Long-run restrictions, sign restrictions [Slide] [Code]
(10/24) Buffer
(10/31) Markov-switching model 2 [Slide] [Code]
(11/ 7 ) State-space model 1 [Slide] [Code]
(11/11) State-space model 2 [Slide] [Code]
(11/14) Smooth-transition model 1 [Slide] [Code]
(11/18) Smooth-transition model 2 [Slide] [Code]
(11/21) Buffer