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) No Lecture
(11/11) Markov-switching VAR model [Inoue and Okimoto (2008)]
(11/14) Factor-Augmented VAR model [Belviso and Milani (2006)]
(11/18) Smooth-transition VAR model [Miyao and Okimoto (2020)]
(11/21) Final Exam
Mid-term Report: Deadline November 14, 2025
Please submit a research proposal that applies the econometric methods covered in this course.
The proposal must clearly indicate (1) Research Question, (2) Econometric Model, and (3) Data.
In addition, the more clearly you present related literature, research background, and data sources, the higher your proposal will be evaluated.