No class: Wednesday September 4th and November 25th (last day of classes)
No lecture: Monday October 21st. You are required to meet with me and commit to topic for you presentation. I would like like you to come to my office and talk about this in advance, but this is the deadline for you to commit (subject to revision, that is fine, but I need to know what your moving ahead with
Make-up classes: TBA. We will have some classes and/or student presentations after Thanksgiving.Syllabus
To pass the class: Occasional homeworks, one (or two?) presentations, a final project.August 26th, I will finish the Kalman Filter/Smoother and then I will talk loosely about subfields of macroeconometrics for a couple of classes, see list below, to give you an idea of what is available, before we continue doing some of the fields more rigorously with programming. I will add references (in particular to surveys or survey-like articles as we go along)
A good place to look for summaries of econometric topics is the list of NBER lectures. NBER econometrics lecturesOne good way to get an idea for your class project is too look at recent issue of the American Economic Review or American Economic Journal: Macroeconomics. These journals request authors to post their data (if feasible).
Teaching notes on Granger CausalityLutz Kilian has done very influential work on oil prices using VARs and he will present in the macro seminar September 16th. We may want to study his AER 2009 paper before he comes
Notes on Kalman Filter .
Notes on Unit Roots .
Notes on Cointegration .
Notes on The APT and Static Factor Analysis .
Homework # ;Due
Homework 1     Matlab code loops Matlab code loops Mon Sep 9Gauss code
Homework 2 Mon Sep 9
Homework 3 Mon Oct 21