Where ECON42550 builds the models, this module is about the methods used to take them to data. Part 1 covers the tools: time series, vector autoregressions, the Kalman filter and solving models with rational expectations. Part 2 builds and estimates structural models, from the real business cycle model to Smets and Wouters. Part 3 turns to what those models left out before 2008, credit and banking crises, and to fiscal policy. Each deck is self-contained, and most pair with one of the interactive models, which run in the browser with nothing to install. These decks are mine rather than UCD’s: I built them independently, using the published module descriptor as a guide to the expected content and working from Prof Karl Whelan’s notes for the course. They are not the version UCD students are examined on.
Lectures
1. Time Series Methods
Five lectures. The tools for taking a model to data.
2. Structural Models
Five lectures. From the RBC model to Smets and Wouters, estimated.
3. Finance and Policy
Two lectures. What the models left out before 2008, and fiscal policy.
Acknowledgements
None of this is built from scratch, and it would be poor form to pretend otherwise.
Prof Karl Whelan
These decks are based on Karl's lecture notes and slides for his MA Advanced Macroeconomics course at UCD.
Textbooks
Four texts stand behind the derivations:
- David Romer, Advanced Macroeconomics, 5th edition
- Jordi Galí, Monetary Policy, Inflation and the Business Cycle, 2nd edition — the New Keynesian model
- Lars Ljungqvist and Thomas Sargent, Recursive Macroeconomic Theory
- Stephen Williamson, Macroeconomics
Individual lectures cite the papers they rest on directly, on the slide and in each deck's reference list.