Applied Macroeconometrics

Roadmap:

1. Basics: Difference Equations, Solutions, Lag Operators

2. Stationary Time-Series Models: ARMA (p,q), ACF/PACF, Box-Jenkins

3. Identification Problems in Macroeconometrics

4. Models with Trend: Dickey-Fuller-Test, Structural Change, Panel Unit Root tests

5. Cointegration and Error-Correction Models

6. Some Non-linear Time-Series Models

Students will be enabled to apply macroeconometric techniques to a variety of cases. Students are encouraged to bring their own problems and data sets to analyze them in the course. Students will be enabled to use the software RATS.

The course is a mixture of lectures, practical exercises and programming RATS code and own

empirical work.

Basic References:

@1: Enders (2010), ch. 1; Kirchgässner, Wolters (2007), ch. 1.

@2: Enders (2010), ch. 2; Kirchgässner, Wolters (2007), ch. 2.

@3: Favero (2001), ch. 3, ch. 4, ch. 6; Kirchgässner, Wolters (2007), ch. 4; Enders (2010)3, ch. 5.

@4: Enders (2010), ch. 4; Kirchgässner, Wolters (2007), ch. 5.

@5: Enders (2010), ch. 6; Kirchgässner, Wolters (2007), ch. 6.

@6: Enders (2010), ch. 7.

Books:

Walter Enders (2010): Applied Econometric Time Series, 3rd edition, Wiley.

Carlo A. Favero (2001): Applied Macroeconometrics, Oxford University Press.

Gebhard Kirchgässner, Jürgen Wolters (2007): Introduction to Modern Time Series Analysis,

Springer.

RATS: www.estima.com

Students will work on empirical projects (either own projects or tasks defined in the course). A

written documentation of the empirical project will be graded.