Εφαρμοσμένη Μακρο-οικονομετρία

Κωδικός Μαθήματος: 
ΕΦΟ-02
Εξάμηνο: 
Έτος Σπουδών: 

Description/ Objectives 

  • This course introduces students to important concepts, methods and models used in the empirical analysis of macroeconomic problems.
  • The emphasis is on econometric and computation techniques, more specifically, major stationary and non-stationary, univariate and multivariate time-series modelling techniques widely employed in (academic and non-academic) macroeconomic research will be covered.
  • Since the best way to learn tools is to practice them, during the course, students will have the opportunity to explore several case studies and apply the learned techniques using the open source econometric software "gretl"
  • At the end of the course students are expected to be able to replicate and present research papers that will enhance their ability to write an advanced dissertation

Main software is "GRETL" - Instructions (Updated Oct 01, 2022)

Install the open source software gretl ( http://gretl.sourceforge.net/ ) in your computer (not for ipads or mobile phones). If you work on windows, go to http://gretl.sourceforge.net/win32/  and download the self-installer (64-bit)

 

 

self-installer (64-bit)

latest release (Aug 9, 2022)

 

gretl-2022b-64.exe

 

Also (from the same site http://gretl.sourceforge.net/win32/) download and install for practical purposes 

X-12-ARIMA (older version of the above)

x13as_install-64.exe

and

TRAMO/SEATS (seasonal adjustment, ARIMA models)

ts_install.exe

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(Alternatively/ALSO) you can use R  - Instructions (Updated Oct 01, 2022)

Computing language R using R-Studio (RStudio is an integrated development environment (IDE) for R)

Download and install the last version of R for Windows ( R-4.2.1 for Windows (32/64 bit) ). Webpage https://cran.r-project.org/bin/windows/base/ and Download R 4.2.1 for Windows (75 megabytes, 32/64 bit) 

Then download and install RStudio (it's easier to use R with it... includes a code editor, visualization tools, debugging etc.). If you use Windows: https://download1.rstudio.org/desktop/windows/RStudio-2022.07.2-576.exe (or from site Download the RStudio IDE - RStudio)

RStudio is an integrated development environment (IDE) for R.

Περιεχόμενα μαθήματος

Weeks(s) 1-2-3-4:
• Introduction to time series analysis.
• Univariate or single equation analysis.
• ARMA and ARDL models,
• lag selection,
• model estimation,
• diagnostics,
• forecasting,
• Non-stationarity
https://otexts.com/fpp3/

Week(s) 5:
1. Owyang & Sekhposyan - Okuns Law over the Business Cycle - Federal Reserve Bank of St Louis - Review, September-October 2012

Week(s) 6-7:
Vector autoregressive models (VAR, SVAR), Vector error correction models (VECM)
1. Lettau, M., & Ludvigson, S., (2004). Understanding Trend and Cycle in Asset Values Reevaluating the Wealth Effect on Consumption. American Economic Review
1a. Lettau, M., & Ludvigson, S., (2004). Expected returns and expected dividend growth - Journal of Financial Economics
1b. Lettau, M., & Ludvigson, S., (2001). Consumption Aggregate Wealth and Expected Stock Returns - Journal of Finance
2. Blanchard, O.J., & Quah, D (1989). Dynamic Effects of Aggregate Demand and Supply Disturbances. American Economic Review, 79, 655-673
3. Bernanke, B.S., & Mihov, I., (1998). Measuring monetary policy. The Quarterly Journal of Economics 113 (3), 869-902

Week(s) 8:
Non-linear VAR
1. Auerbach & Gorodnichenko, (2012). Measuring the Output Responses to Fiscal Policy. American Economic Journal: Economic Policy 2012, 4(2): 1–27

Week(s) 9-10:
Panel data models
1. Romer & Romer, (2019). Fiscal Space and the Aftermath of Financial Crises - How It Matters and Why. Brookings Papers on Economic Activity, Spring 2019
2. Bianchi & Ottonello & Presno (2021). Fiscal Stimulus under Sovereign Risk. NBER working paper http://www.nber.org/papers/w26307 , May 2021
https://www.worldbank.org/en/events/2021/10/07/fiscal-stimulus-under-sovereign-risk

Week(s) 11-12:
"Big data" and dynamic factor models
1. Michael W. McCracken & Serena Ng (2016) FRED-MD: A Monthly Database for Macroeconomic Research, Journal of Business & Economic Statistics, 34:4, 574-589, DOI: 10.1080/07350015.2015.1086655
2. Luciani, Matteo (2020). Common and idiosyncratic inflation. Finance and Economics Discussion Series 2020-024. Washington: Board of Governors of the Federal Reserve System, https://doi.org/10.17016/FEDS.2020.024.
https://www.federalreserve.gov/econres/notes/feds-notes/common-and-idiosyncratic-inflation-20200305.html
3. Luciani, Matteo (2021). "Quantifying the COVID-19 effects on core PCE price inflation," FEDS Notes. Washington: Board of Governors of the Federal Reserve System, February 25, 2021, https://doi.org/10.17016/2380-7172.2875.
https://www.federalreserve.gov/econres/notes/feds-notes/quantifying-the-covid-19-effects-on-core-pce-price-inflation-20210225.html

Μαθησιακοί στόχοι

On successful completion of the course, students should be able to:
• Determine what constitutes good applied econometric practice
• Understand some of the pitfalls, problems, and solutions that arise in applied work
• Solve problems associated with identification using macroeconomic data
• Critically evaluate applied econometric research

Μέθοδος διδασκαλίας

Lectures including solving exercises, applied work in computer laboratory:
13 weeks * 3.5 hours = 45..5 hours

Μέθοδος αξιολόγησης

Class Participation: 10%
Problem sets: 20%
Mid-term exam: 20% , (multiple choice, 2 hours)
Final Exam: 50% , 2 hours

Total: 100%

Πληροφορίες Μαθήματος

Ώρες διδασκαλίας: 
4 hours per week
Πιστωτικές μονάδες: 
8.00
Διδακτικές μονάδες: 
8.00
Συντελεστής Βαρύτητας: 
1.00

Τρέχοντες Διδάσκοντες

Διδάσκων: 

Βενέτης Ιωάννης

Αναπληρωτής Καθηγητής
Venetis Ioannis
Γνωστικό Αντικείμενο: 
Οικονομετρία
Οργανική Μονάδα / Εργαστήριο: 
Εργαστήριο ποσοτικών μεθόδων και πληροφοριακών συστημάτων
E-mail: 
Τηλέφωνο: 
Ώρες γραφείου: 
(Μεταπτ. Φοιτητ.) Τετάρτη 14:00 - 17:00

Πόροι

Προτεινόμενα Συγγράμματα: 
- (MAIN) - Forecasting: Principles and Practice (3rd ed) - Hyndman & Athanasopoulos - https://otexts.com/fpp3/ -
- Heij & de Boer & Franses & Kloek & van Dijk (2004). Econometric Methods with Applications in Business and Economics, OUP, ISBN: 9780199268016
- Enders, W., (2014). Applied Econometric Time Series, 4th Edition, Wiley, ISBN: 978-1-118-80856-6
- Hamilton, J.D., (1994). Time series Analysis. Princeton, NJ: Princeton University Press.
- Lütkepohl H., (2007). New Introduction to Multiple Time Series Analysis. Springer Berlin Heidelberg New York
- Lütkepohl H. & Krätzig, Μ., (2004). Applied Time Series Econometrics. Edited by: Lütkepohl Helmut and Markus Krätzig. Cambridge University Press
- Canova F., (2007). Methods for Applied Macroeconomic Research Hardcover. Princeton University Press.
Προτεινόμενη Βιβλιογραφία: 
Online books: John Cochrane (Chicago), Time Series for Macroeconomics and Finance
Online books: D.S.G. Pollock (Queen Mary College), The Methods of Time Series Analysis
Online books: Paul Söderlind (St. Gallen), Lecture Notes in Financial Econometrics
Online books: A.W. van der Vaart (Vrije U), Time Series