Poslední úprava: PhDr. Jaromír Baxa, Ph.D. (09.09.2020)
In this course, students learn how to use the methods of current macroeconometrics. We start with isolation of trends and cycles, and with modelling univariate time series. More advanced topics, i.e., spectral analysis, filters, regime-shift models and state-space models, follow. The second part of the semester is devoted to multivariate models, forecasting, and identification of causal relationships in macroeconomics. We cover the recently developed approaches to identification such as external instruments in VAR or high frequency identification as well.
Over the semester, students are expected to apply the methods in regular problem sets, and to present their results in the seminars. Problem sets shall be written in R and delivered as Jupyter notebooks. Sample R-codes are provided.
Poslední úprava: PhDr. Jaromír Baxa, Ph.D. (09.09.2020)
In this course, students learn how to use the methods of current macroeconometrics. We start with isolation of trends and cycles, and with modelling univariate time series. More advanced topics, i.e., spectral analysis, filters, regime-shift models and state-space models, follow. The second part of the semester is devoted to multivariate models, forecasting, and identification of causal relationships in macroeconomics. We cover the recently developed approaches to identification such as external instruments in VAR or high-frequency identification as well.
Over the semester, students are expected to apply the methods in regular problem sets and to present their results in the seminars. Problem sets shall be written in R and delivered as Jupyter notebooks. Sample R-codes are provided.
Podmínky zakončení předmětu -
Poslední úprava: PhDr. Jaromír Baxa, Ph.D. (09.09.2020)
Problem sets and presentations 60%, Midterm 20%, Final exam 20%. Problem sets: 10 points for each problem set at maximum. Late submission/returned PS -1 points. Presentation: 10 points (2-3 presentations per semester).
About 10 problem sets shall be expected. It is necessary to have at least 50% of points of each problem set to pass the course.
Midterm: written exam.
Final exam: presentation of selected problem set and written exam.
Poslední úprava: PhDr. Jaromír Baxa, Ph.D. (09.09.2020)
Problem sets and presentations 60%, Midterm 20%, Final exam 20%. Problem sets: 10 points for each problem set at maximum. Late submission/returned PS -1 points. Presentation: 10 points (2-3 presentations per semester).
About 10 problem sets shall be expected. It is necessary to have at least 50% of points of each problem set to pass the course.
Midterm: written exam.
Final exam: presentation of selected problem set and written exam.
Literatura -
Poslední úprava: PhDr. Jaromír Baxa, Ph.D. (09.09.2020)
Literature
We provide most of the necessary information in our presentations and in sample codes. If needed, we encourage students to consult in the following textbooks and in articles mentioned in the syllabus.
Enders, W.: Applied Econometric Time Series, 3rd ed., Wiley, 2009.
Poslední úprava: PhDr. Jaromír Baxa, Ph.D. (09.09.2020)
Literature
We provide most of the necessary information in our presentations and in sample codes. If needed, we encourage students to consult in the following textbooks and in articles mentioned in the syllabus.
Enders, W.: Applied Econometric Time Series, 3rd ed., Wiley, 2009.