Login

MACROECONOMETRICS

Program

Updated A.Y. 2018-2019

Filtering

Linear filter
State-space form
Kalman filter and Smoother
Some economic examples
Estimation

Maximum likelihood
Bayesian estimation
Economic examples

  Bayesian VAR
  Time Varying Parameters VAR
   Large VAR

Big data in economics

Macroeconomic modelling and forecasting.

 

  

 

References
Durbin, J., and Koopman, S.J. (2001), Time Series Analysis by State Space Methods, Oxford University Press, Oxford, UK.
Harvey, A.C. (1989), Forecasting, Structural Time Series and the Kalman Filter, Cambridge University Press, Cambridge, UK.
West, M., and Harrison, J. (1997), Bayesian Forecasting and Dynamic Models, 2nd ed., Springer-Verlag, New York.
Kim, C.J., and Nelson, C. R. (1999),  State-Space Models with Regime-Switching. Cambridge MA: MIT Press.
Shumway, R.H., and Stoffer, D.S. (2000), Time Series Analysis and Its Applications, Springer-Verlag, New York.
Cappé, O., Moulines, E., and Rydén, T. (2005). Inference in hidden markov models. Springer Series in Statistics. Springer, New York.
Fruehwirth-Schnatter, S. (2006). Finite Mixture and Markov Switching Models.Springer Series in Statistics. Springer, New York.
Hamilton, J. (1994). Time Series Analysis. Princeton University Press.
Proietti, T. (2008). Structural Time Series Models for Business Cycle Analysis. In the Handbook of Econometrics: Vol. 2, Applied Econometrics, Part 3.4., ed. T. Mills and K. Patterson, Palgrave, London.