No class: TBA if needed. Make-up class: TBA if needed.
SyllabusTo pass the class: Occasional homeworks, one (or two?) presentations, a final project. You can do a replication, a Monte Carlo, a technical trying-out of a recent method, a less technical, maybe data-intensive project, something related to your 2nd or 3rd year paper. You can do a project with another student. To some extent you can find your own way for the project part of the class.
A good place to look for summaries of econometric topics is the list of NBER lectures. NBER econometrics lectures
One 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). Below is a list of topics. I assume you will write Matlab code, or find it, or adapt Gauss code of mine, so we can try out the various methodsl I will listen to student preferences, if you have any, but I will start with SVARS.Very short note on Principal Components (last update 2/20/22) .
Notes on Kalman Filter (last update 2/17/22) .
Notes on Unit Roots (last update 2/2/22) .
Notes on Cointegration (last update 2/10/22) .
Notes on Dynamic Factor Models (2/21/22) .
Notes on ARCH and Volatility Models (3/2/22) .
Homework # ;Due
Homework 1     Wed Feb 2
Homework 2     Wed Feb 9
Homework 3     Gauss Johansen code Wed Feb 16
Homework 4     Matlab code Matlab loops Wed Feb 23
Homework 5     Wed March 9