Spring 2023
-
Wednesday, 13:30 -16:50 :: 2A/C
Lecturer
-
Jacek Suda, Department of Quantitative Economics
Email: jacek.suda@sgh.waw.pl
Announcements
-
The take home exam will start on Thursday 15/6 noon and you have to submit the answer (on Teams) by Friday 16/6, 6pm.
Homeworks
-
Homework 1. Due date: April 5, 2023
Homework 2. Due date: May 31, 2023. Data: freddata.xlsx,
Solutions to Homework 1 , Stata code and data(GDPC1.csv)
Solutions to Homework 2 and Stata code
Lectures
Slides: Syllabus
Slides: ARMA models
Slides: Short introduction to Stata
Data: gdpq.prn; and do-file: time_series_stata.do
Slides: State-space form; Kalman Filter
do-files: state-space model: StateSpaceStata.do; Kalman filter: StateSpaceKFStata.do
Slides: VAR models
Data: ffr_gdp.dta; and do-file: var_stata.do
Slides: Unit Root; Structural Breaks; Unobserved Component Model;
Slides: Cointegration, VECM;
Suda and Zervou (2018) Slides for International Great Inflation and Common Monetary Policy,
Macroeconomic Dynamics 22(6): 1428–1461.
Slides: More on macroeconomic shocks
Slides: Local projection
Singh, Suda and Zervou (2022) Monetary Policy, Labor Market, and Sectoral Heterogeneity,
code, data
Description
-
The purpose of this course is to familiarize students with current techniques used in macroeconomic time series models with applications in macroeconomics, international finance, and finance; with the ultimate aim of providing students with the necessary tools to conduct original research in the area.
Topics include ARMA models, VARs and impulse response functions; local projection; unit roots, and structural breaks; spurious regressions; cointegration and VECM; ARCH models of volatility, and trend/cycle decomposition methods, including Kalman filtering.
We will mostly work with the classical framework in the time domain but will touch upon Bayesian and frequency domain frameworks.