ECON8873 · Economics

Empirical Methods in Macroeconomics and Finance

Morrissey College of Arts & Sciences

We will study econometric models and methods that are useful to conduct substantive empirical research in macroeconomics and finance. We consider the estimation and evaluation of dynamic stochastic general equilibrium models, analysis of linear and nonlinear vector autoregressive models, time series models with regime switches and time-varying coefficients, as well as dynamic factor models. For the most part, we will focus on Bayesian methods of inference, with detailed discussions of suitable Markov-Chain- Monte-Carlo methods.