Econometric Tools for Macroeconomics
By Lawrence J. Christiano
This course will review the key econometric tools for macroeconomics. In practice, this means the concepts of Bayesian inference combined with time series analysis.
1) Identification and Vector Autoregressions.
c) Information on material not covered in lectures: for high frequency identification, see Gorodnichenko and Weber; Gertler and Karadi; Nakamura and Steinsson, For sign restrictions see Uhlig; Arias, Rubio-Ramirez and Waggoner.
2) Bayesian inference.
d) Methods to do a Bayesian version of Generalized Method of Moments and to construct more plausible priors for DSGE models.
3) Bayesian Vector Autoregressions (BVAR).
b) Readings: James Hamilton, Time Series Analysis, Princeton University Press, 1994.
5) Dynamic Factor Models (DFM) and Factor Augmented VARs (FAVAR).
a) What is Gibbs sampling? An example.