Macroeconometrics
- Credits: 8
- Ending: Examination
- Range: 16sP
- Semester: winter
- Faculty of Economic Informatics
Teachers
Included in study programs
Teaching results
The graduate of the course will acquire the necessary apparatus necessary for the implementation of current econometric research in the field of macroeconomic analysis.
Skills:
Students will be able to use tools used in empirical macroeconomic and econometric analyzes, such as the formulation of dynamic general equilibrium models (DSGE); application of DSGE model solution tools such as recursive programming, Markov chains, state space, Kalman filter, Bayesian estimation; Bayesian estimation of vector autoregression models.
Findings:
A complex apparatus used in empirical macroeconomic and econometric analysis.
Competences:
Students will be able to conduct their own research in the macroeconomic field at the highest level.
Indicative content
1. Markov chains.
2. Stochastic difference equations, Kalman filter.
3. Dynamic programming with stochastic term, linear-quadratic dynamic programming.
4. Search models.
5. Markov chains Monte Carlo, Metropolis algorithm, Gibbs sampler.
6. Bayesian estimation and analysis of econometric models.
7. Bayesian estimation of VAR models.
8. Bayesian estimation of RBC and DSGE models.
Support literature
1. Bagliano, F.C., Bertola, G.: Models for Dynamic Macroeconomics. Oxford University Presss, 2004
2. Bårdsen, G., Eitrheim, Ø., Jansen, E.S., Nymoen, R.: The Econometrics of Macroeconomic Modelling, Oxford, 2005
3. Chan, J., Koop, G., Poirier, D., Tobias, J.: Bayesian Econometric Methods, Cambridge University Press, 2019
4. Durbin, J., Koopman, S.J.: Time Series Analysis by State Space Methods, Oxford University Press, Oxford, 2001.
5. Geweke, J.: Contemporary Bayesian Econometrics and Statistics, Wiley-Interscience, 2005
6. Ljungqvist, L., Sargent, T.J.: Recursive Macroeconomic Theory. 4. vydanie. MIT Press, 2018
7. Sargent, T.J., Stachurski, J.: Quantitative Economics in Discrete and Continous Time. quantecon.org, 2020
8. Stachurski, J.: Economic Dynamics: Theory and Computation. MIT Press, 2009
9. Szomolányi, K., Lukáčik, M., Lukáčiková, A.: Impact of Terms-of-Trade on Slovakia, the Czech Republic, and Croatia in the Short Run. Naše gospodarstvo/Our economy: Journal of Contemporary Issues in Economics and Business, roč. 63., č.1, 2017, s. 3-13. doi.org/10.1515/ngoe-2017-0001
Requirements to complete the course
projects and presentations 40%, final paper 60%
Student workload
student workload: 208 h, participation in lectures 16 h, elaboration of projects and presentations 68 h, elaboration of paper 124 h
Language whose command is required to complete the course
Slovak, English
Date of approval: 10.02.2023
Date of the latest change: 16.05.2022