JEM158 - Tools for Modern Macroeconometrics

Credit: 6
Status: Centrální bankovnictví a finanční regulace - mandatory
CSF - elective
EEI and EP - elective
English
ET - elective
F,FM and B - elective
Masters - all
MEF - elective
Semester - summer
Course supervisors: PhDr. Jaromír Baxa Ph.D.
Mgr. Lukáš Vácha Ph.D.
Course homepage: JEM158
Literature: Kilian, L., & Lütkepohl, H.: Structural Vector Autoregressive Analysis. Cambridge: Cambridge University Press, 2017.

Enders, W.: Applied Econometric Time Series, 3rd ed., Wiley, 2009

Lütkepohl, H.: New Introduction to Multiple Time Series Analysis. Springer, 2005.

Kočenda, E., Černý, A.: Elements of Time Series Econometrics: An Applied Approach, Karolinum 2007
Description: Students aiming for a career in central banks, academia or international institutions will learn methods that are necessary to understand, replicate and conduct empirical research in macroeconomics.
The first part of the course covers modelling univariate time series (stationary and nonstationary models, spectral analysis, regime-shift models). The second part of the semester is devoted to multivariate models, forecasting, and identification of causal relationships in macroeconomics. The recently developed approaches to identification such as external instruments in VAR or high frequency identification are covered as well.
Our course participants apply all covered methods in regular problem sets that are based on replications of academic papers. These problem sets are presented and discussed in the seminars.
Problem sets shall be prepared in R and delivered as Jupyter notebooks, sample R-codes are provided.

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance
Česká Spořitelna
EY