Εφαρμοσμένη Μακρο-οικονομετρία

Applied Macro-econometrics

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 26, 2018)

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 (Sep 3, 2018)

 

gretl-2018c-64.exe

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(Alternatively) you can use R  - Instructions (Updated 2017)

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-3.4.2 for Windows (32/64 bit) ). Webpage https://cran.r-project.org/bin/windows/base/ and Download R 3.4.2 for Windows (75 megabytes, 32/64 bit) 

Then download and install RStudio (makes R easier to use. It includes a code editor, visualization tools, debugging etc.). If you use Windows: https://download1.rstudio.org/RStudio-1.0.153.exe  . RStudio is an integrated development environment (IDE) for R.


 

 

Περιεχόμενα μαθήματος

Weeks 1-2-3-4:
Introduction to time series analysis. Univariate or single equation analysis. ARMA and ARDL models, lag selection, model estimation, diagnostics, forecasting

Paper:
Owyang & Sekhposyan - Okuns Law over the Business Cycle - Federal Reserve Bank of St Louis - Review September October 2012

Weeks 5:
Non-stationarity, testing and filters

Week 6-7:
Vector autoregressive models (VAR, SVAR)

Week 8-9:
Vector error correction models (VECM)

Week 9-10:
State space models, Kalman filter and dynamic factor models

Papers:
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

3. Morley J.C (2007). The Slow Adjustment of Aggregate Consumption to Permanent Income. Journal of Money, Credit and Banking, Vol. 39, No. 2-3, 615-638
2. Perron, P & Wada, T. (2009). Let's take a break: Trends and cycles in US real GDP. Journal of Monetary Economics 56 (2009) 749-765
5. Blanchard, O.J., & Quah, D (1989). Dynamic Effects of Aggregate Demand and Supply Disturbances. American Economic Review, 79, 655-673
4. Bernanke, B.S., & Mihov, I., (1998). Measuring monetary policy. The Quarterly Journal of Economics 113 (3), 869-902

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: 26 hours
Solving exercises, applied work in computer laboratory: 19.5 hours

Μέθοδος αξιολόγησης

Class Participation: 5%
Problem sets (various problem sets during the course and short presentations of projects): 15%
Mid-term exam: 30% , (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) - Enders, W., (2014). Applied Econometric Time Series, 4th Edition, Wiley, ISBN: 978-1-118-80856-6
- (MAIN) - Heij & de Boer & Franses & Kloek & van Dijk (2004). Econometric Methods with Applications in Business and Economics, OUP, ISBN: 9780199268016
- Canova F., (2007). Methods for Applied Macroeconomic Research Hardcover. Princeton University Press.
- Handbook of Research Methods and Applications in Empirical Macroeconomics Handbooks of Research Methods and Applications series Edited by Nigar Hashimzade, Durham University, UK and Michael A. Thornton, University of York, UK, Publication Date: 2015 ISBN: 978 1 78254 507 1
- (Time series) - Hamilton, J.D., (1994). Time series Analysis. Princeton, NJ: Princeton University Press.
- (Time series) - Lütkepohl H., (2007). New Introduction to Multiple Time Series Analysis. Springer Berlin Heidelberg New York
- (Time series) - Lütkepohl H. & Krätzig, Μ., (2004). Applied Time Series Econometrics. Edited by: Lütkepohl Helmut and Markus Krätzig. Cambridge 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