Notes and codes

Replication codes 

Romer and Romer (2004) monetary shocks

Replicates the estimation of shocks and computes pseudo shocks until 2007 to account for the "generated regressor problem", folder here

My papers

For the links to the data and codes for the replication of my papers, see the research page

Teaching notes

Simplified hypothesis testing for beginners 

• slides

Vector autoregressive model

A step-by-step introduction to VAR models (with simulations on Matlab)  

• • • notes, Matlab codes in .m files and pdf. Version: February 2015

Identification of VARs using external instruments  

• • • notes, Version: July 2017

Bayesian VARs, step-by-step derivations of posteriors

• • • notes, Version: June 2019

I was invited to teach courses based on this material at

• 1. University of Naples, Federico II (CSEF), Italy, April 6-12, 2016. Link here, 

  2. Central Reserve Bank of Peru, February 24-28, 2020. Link here.

Feel free to use this material for your own teaching and research. I am available to lecture on this  topic, either on zoom or in person.

Bayesian Econometrics 

Introducing Bayesian Econometrics using 4 examples 

• • • notes, Matlab code in .m file. Version: July 2015

    • slides used on a course at the Bank of England, December 2, 2019. From the basics to Bayesian VARs

The role of prior beliefs for identified and nonidentified parameters + Interpreting the effective sample size in importance sampling

• • • notes, Version: May 2019

    • These notes provide two illustrative examples behind the paper "Bayesian Structural VAR models: a new approach for prior beliefs on impulse responses", with Martin Bruns

Probability distributions frequently used in Bayesian Econometrics

• • • notes, Matlab codes coming soon. Version: June 2019

Bayesian VARs, step-by-step derivations of posteriors (see link in VAR section above)

Linear Model

Introducing OLS estimation using simulations on Matlab

• • • notes, codes. Version: October 2019

Practicing Matlab using exercises on selected topics in math

Notes here.  

Some notes that I was asked to put together to explain yields, interest rates, government bonds, and how all this is affected by central bankds. Link here.  

If you find typos and mistakes, please do get in touch

Other stuff

1. Teaching notes for an undergraduate course in International Monetary Economics taught in Shanghai, China (here)

2. For MSc Econ students at LSE, some material to prepare for Macroeconomics and Econometrics (here)