Outline

This a short course (3 lectures) on advanced macroeconometrics on Vector Autoregressions and Simulated Moment Matching method. The rest of the course is provided by Magali Marx (Banque de France) and Sylvain Benoit (Dauphine).

Note that the materials for the VAR are shared with another class of graduate students, the handout numeration/names are consistent with the other class, don’t mind about it.

Handouts list

Handout 1: Vecto Auto-Regressive (VAR) models

Objectives of the Lecture:

  • Building and estimate a VAR Model;
  • Performing business cycles analysis;
  • Imposing restrictions on the VAR coefficients;
  • Performing forecasting.
Materials:

chapter3.pdf Handout
estim_NKPC.m The NK curve in VAR model (MATLAB file)
SW JEP 2001 Vector Autoregressions paper
Handout 2: SMM method

Objectives of the Lecture:

  • Understanding the concept of indirect inference
  • Estimating a model with SMM;

Materials:

chapter3.pdf SMM Guide
NK3eq.mod Estimated NK model (Dynare file)
Vfunc.m SMM objective function (MATLAB file)
mydb.m Get empirircal moment (MATLAB file)

Examination/Grading

Provide an application either of VAR or SMM method to a sample/model that you have already used for the lecture on Bayesian Techniques. I am just interested in the code application, and the interpretation of the results. Don't waste your time on building a too big VAR model, focus on the interpretation/insights that yo ucan get for your estimated model.

Get MATLAB


Two possibibilities
Please use your own laptop if you can with MATLAB installed prior to the first lecture.
1/ Installing: Dauphine University provides a free licence for students. Please have Datafeed, Optimization and Econometrics toolboxes installed. This is the safest solution
2/ Citrix: Go to Citrix to connect to a remote server hosted in Dauphine. Note that your internet connection must be stable, which may not always be the case if many users are simultaneously connected to the wifi.

Real time macro-data on MATLAB


This is a must-read as all of the lectures will rely on DBnomics. The latter is a database aggregator which can be queried directly from MATLAB. Please read carefully this following note on DBnomics and download as well the MATLAB function which allows to get real time macro data:

DBnomics.pdf
Quick Guide.
     call_dbnomics.m
Query DBnomics w/ MATLAB.

The Dynare package


How to set up Dynare
1/ Download link. (For those of you using citrix, I suggest you to use an older version of dynare because of hard drive limitation, install on H:/ drive.)
2/ Load automatically Dynare.
3/ Call dynare by typing in the command window of MATLAB « dynare NAME_OF_YOUR_DYNARE_FILE ».