Advanced Econometrics / Ekonometria Zaawansowana

Introduction to R

Part 1. Cross section and panel data methods

Materials:

Topic 1: OLS, MLE and related topics. Primer. (download)

Topic 2: Endogeneity and Instumental Variables. (download)

Topic 3: Simultaneous equations. (download)

Topic 4: Panel data. (download)

Homework 1: download

Homework 2: download

Part 2. Time series methods and Bayesian econometrics

Materials:

Topic 5: Time series methods. VAR models. (download)

Topic 6: Introduction to Bayesian econometrics. (download)

Topic 7: Bayesian VAR. (download)

Topic 8: Time series forecasting. (download)

R scripts

Data: dataJIE.csv

Topic 5: Time series methods. VAR models. T5a.R; T5b.R

Topic 6: Introduction to Bayesian econometrics. T6a.R; T6b.R; T6c.R

Topic 7: Bayesian VAR. T7a.R; T7b.R; T7_Functions.R

Topic 8: Forecasting. T8.R; T8_Functions.R

Homework 3: download

Readings:

Ca' Zorzi Michele, Marcin Kolasa and Micha³ Rubaszek, 2017. Exchange rate forecasting with DSGE models, Journal of International Economics 107: 127-146 (link and presentation)

Kolasa Marcin and Micha³ Rubaszek, 2018. Does foreign sector help forecast domestic variables in DSGE models?, International Journal of Forecasting 34(4): 809-821 (link and presentation)

Ca' Zorzi, M., Muck, J., Rubaszek, M., 2016. Real exchange rate forecasting and PPP: this time the random walk loses. Open Econ. Rev. 27 (3), 585–609. (link)

Helmut Luetkepohl, 2011. Vector Autoregressive Models, EUI WP ECO2011/30, (link)

Smets F., Peersman G., 2001. The monetary transmission mechanism in the Euro area: more evidence from VAR analysis, ECB Working Paper Series 091 (link)

Clarida R., J. Gali, 1994. Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks? NBER Working Paper No. 4658 (link)

Keith O’Hara, 2015. Bayesian Macroeconometrics in R (link)

Alistair Dieppe, Romain Legrand and Björn van Roye, 2016. The BEAR toolbox, ECB WP 1934 (link)

Zeugner, Stegan, Bayesian Model Averaging with BMS," 2011, (link)

Faust, J., Wright, J.H., 2013. Forecasting inflation. In: Elliott, G., Timmermann, A. (Eds.), Handbook of Economic Forecasting. vol. 2. Elsevier., pp. 2–56. (link)

Robertson J.C., Tallman E.W., 1999. Vector autoregressions: forecasting and reality, Economic Review, Federal Reserve Bank of Atlanta, issue Q1, pages 4-18 (link)

Banbura M., D. Giannone, L. Reichlin, 2010. Large Bayesian vector auto regressions, Journal of Applied Econometrics 25(1), 71-92 (link)

Barbara Rossi, 2014. Density forecasts in economics and policymaking, CREI WP 37 (link)

GRADES (max 40 points, 4x10 for each presentation/housework)

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