Module Title:
Macroeconometrics
Module Code:
DSE6333

Module Content

• Univariate Time Series Models (Basic Concepts in Time Series Analysis). Approximating the Wold Representation.Data Transformations.Parametric Analysis of Time Series: Estimating AR, MA, and ARMA Processes.Nonparametric Analysis of Time Series.Unobserved Components Models. Measuring Volatility (ARCH, GARCH, ARCH-in-Models, Other Models of Conditional Heteroskedasticity).Measuring Risk.)
• Unit Roots, Spurious Regressions and Cointegration(Testing the Unit Root Hypothesis. Robust Inference in the Presence of Possible Autoregressive Unit Roots.The Quantitative Importance of Unit Roots.Unit Root Regressions.Cointegration).
• Multivariate Time Series Models (Nonparametric Methods for Multivariate Time Series. Reduced-Form Vector Autoregressions.AR and VAR Lag Order Selection.Structural VAR Models: Lessons from the Money-Income Causality Debate.)
• Other Forecasting Methods(Forecasting a Scalar Time Series. Forecasting a Scalar Time Series with Large Cross-Sections.Predictability Tests.Pseudo Out-of-Sample Tests of Equal Predictive Accuracy.Tests of Forecast Encompassing.In-Sample versus Pseudo Out-of-Sample Tests of Predictability.Testing Forecastability.Direction-of-Change Tests. Data minining (What is data mining. Cures for data mining)).
• Bootstrapping(Bootstrapping Stationary Time Series Models)
• Nonrecursive Structural VAR Models(Identification. Structural VAR Critiques.Selected Alternative Structural VAR Approaches)/li>
• Market failure, property rights and public goods
• Nonlinear Time Series Models
• Large data sets: Dynamic Factor Models, FAVAR, Combinations, Bayesian Model Averaging, BVARs(Motivation and application. Econometric Method).