G30 Topics in Economics (Macroeconometrics II)

Syllabus

1st September 30th Macro Xu pp.91-105. Introducing asset prices in the behavioral model, simulating the model, should the Central Bank care about stock prices?,
inflation targeting and macroeconomic stability, the trade-off between output and inflation variability
2nd October 2nd Nonliner Bala pp.65-77. Consistent misspecification tests, LM or score test, Locally equivalent alternatives, nonlinear model only identified under the alternative
3rd 9th Macro Xu pp.107-125. Fundamentalists are biased, shocks and trade-off, further extensions of the basic model, the correlation of output movements and animal spirits,
model predictions, transmission of monetary policy shocks
4th 16th Nonlinear Bala pp.77-91. Nonlinear model only identified under the alternative, testing linearity unspecified alternatives,
comparing parametric linearity tests using asymptotic relative efficiency
5th 23rd Macro Xu De Grauwe and Kaltwasser (2012) Animal spirits in the foreign exchange market, Journal of Economic Dynamics and Control
6th 30th Nonlinear Bala pp. 92-107. Generalizing the Chow test, LM type tests, tests based on recursive estimation of parameters
7th November 6th Macro Xu De Grauwe and Kaltwasser (2012) Animal spirits in the foreign exchange market, Journal of Economic Dynamics and Control
8th 13th Nonlinear Bala pp. 107-116. Tests based on recursive estimation of parameters, nonparametric linearity tests
9th 19th Macro Xu De Gruwe and Markiewicz (2012) Leraning to forecast the exchange rate
10th December 4th Nonlinear Bala pp.116-132. Nonparametric linearity tests, testing for specific functional forms, selecting lags
11th 11th Macro Xu De Gruwe and Markiewicz (2012) Leraning to forecast the exchange rate
12th 18th Canceled
13th January 8th Nonlinear Bala pp.133-150. Testing for additivity and interaction, tests for partial linearity and semiparametric modelling, tests of independence
14th 15th Research Deng Master thesis
15th 22nd Research Katafuchi Master thesis
Research Zheng Master thesis