Economics 8344

Professors German Cubas and Bent Sorensen

Macro III (macro topics)

Fall 2018

Syllabus Updated Sep 23

Tips on Presentations

Scheduling: Classes to be rescheduled so far: August 27, August 29, September 5, October 17, and October 22.

Make-up classes: Friday Sep 21, 4 pm; Friday Oct 26 4pm, Saturday Oct 27, 9am-12am (two presentations)

Professors Cubas and Sorensen will co-teach the class, meaning that we aim to both be in most classes.

Course structure (tentative):

We will have 6-10 homeworks followed by in-depth student presentations (a full class each, but we will help you) and a final project.

The grade will be determined from your homeworks (20%), presentation (20%), participation (discussion other students presentations (20%), final project (40%). The final project is due TBA (around last day of class)

We will cover econometric methods commonly used for more (or less) structural models. We will start with the econometric tools and then we will cover some recent and/or influential articles that uses these tools. Everything is tentative, except that Bent will talk about Structural VARs the first week.

Note on Structural VARs.

GMM Notes part 1

GMM Notes part 2

GMM Notes part 3 (The first 2 pages are the most important. The theory is not going to be on exam.)

Andersen-Sorensen GMM 1996 (about estimating a Stochastic Volatility model, but the paper illustrates clearly some features of GMM estimation, which is why it is included here).

Andersen-Sorensen EMM 1999

Alastair Hall's GMM resources You may want to check out the lecture (as a supplement to the class's lectures) and Kostas Kyriakoulis's GMM Toolbox for MATLAB, which is linked there.

Hansen-Singleton GMM program, the data

Some VAR notes by Christopher Sims and Stock&Watson (skim these, or read them, we will not expect you to know details)

Blanchard-Quah paper (you don't need to know the detail, but know the logic of imposing long-run constraints)

Paper by Barsky and Eric Sims (this way of using VARs may become more common)

German's slides on heterogeneity in macroeconomics

German's slides on estimation of income processes

Homework 1: Estimate a VAR (I suggested looking at real GDP growth, unemployment, and interest rates) but you can chose other data. Plot impulse response functions. Explain how you determine the number of lags.

Homework 2   Matlab Hansen-Singleton pgm    Due Wed October 24

Gauss program1 (some commands in program are obscure, they trap errors to prevent program from crashing, Bent will go over some of it in class).