ECON 590 P6 - Individual Study and Research - Applied Macroeconometrics
Directed reading and research. Course Information: Approved for both letter and S/U grading. May be repeated.
The objective of the course is (i) to provide students rigorous foundations in Bayesian econometrics and (ii) study econometric models and methods that are useful to conduct substantive empirical research in macroeconomics. To that end we will focus on the estimation and structural identification of Bayesian ARIMA model, vector autoregressions (VAR), high dimensional dynamic factor models (DFM), dynamic stochastic general equilibrium (DSGE) models, time series models with regime switches (MS-VAR) and time-varying coefficients (TVP-VAR). An overarching theme in the applications we discuss in class will be the identification and quantification of the sources of business cycle fluctuations. Among those we will elaborate on the current and historical role of monetary policy, fiscal policy, technology, financial and uncertainty shocks in shaping macroeconomic dynamics.
Option 1Number of Required Visit(s): 0
Course Level: Graduate