Topics in Macroeconomics I
This course presents theoretical tools needed for estimation, evaluation, and inference with dynamic stochastic general equilibrium macroeconometric models in policy institutions. Recent work on matching VARs and DSGE dynamics, and on measuring gaps/potentials/star variables are also discussed.
This course covers lectures 1- 6
Lecture 1: Calibration of DSGE models
Lectures 2-3: Maximum likelihood estimation of DSGE models
Lectures 4-5: Bayesian analysis and Markov chain Monte Carlo methods
Lecture 6: Bayesian estimation of DSGE models
Lecture 7-12 is covered in DRE XX25 Topics in Macroeconomics II
Lecture 7: Identification issues, DSGE-VARs, Choice of data for estimation.
Lecture 8: Prior and measurement errors specification problems
Lecture 9: Semi-structural DSGE; Data rich estimation
Lecture 10: Trends and non-balance growth paths; Eliciting priors from the data
Lecture 11: Prior Predictive analysis; Time varying coefficients DSGEs.
Lecture 12: Misspecification: composite likelikood and quasi-Bayesian methods.
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