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.
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.
Please use your own laptop if you can with MATLAB installed prior to the first lecture.
Dauphine University provides a free licence for students
. Please have Datafeed, Optimization and Econometrics toolboxes installed. This is the safest solution
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:
Quick Guide. call_dbnomics.m
Query DBnomics w/ MATLAB.
The Dynare package