Advanced Macroeconomics II
2020 Fall
Lecture 1: VAR Models
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Notes: [pdf]
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Matlab codes for :
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Stock and Watson (2001), three-variable VAR, [zip]
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Blanchard and Quah (1989), two-variable VAR, [zip]
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Barsky and Sims (2012), SVAR, [zip]
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Lecture 2: Quantitative Analysis in DSGE Models: Simulation (I)---RBC Model
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Notes: [pdf]
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Dynare code for RBC: 1. linear version [file]. 2. non-linear version [file]
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Download Dynare: [link]
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User guide for Dynare: [pdf]
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More details about how Dynare solves the linearized model: [pdf]
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Lecture 3: Quantitative Analysis in DSGE Models: Simulation (II)---Examples
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New Keynesian Model
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Notes: [pdf]
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Dynare codes: [file]
Other Applications:
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Notes: [pdf]
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Dynare codes:
1. Asset pricing in production economy [file].
2. Expectation driven business cycles:
a. RBC [file] ;
b. Jaimovich and Rebelo (2009, AER) [file]
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Lecture 4: Quantitative Analysis in DSGE Models: Estimation
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Notes: [pdf]
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Dynare codes:
a. generate artificial data from RBC model [file]
b. estimate the RBC model using the artificial data [file]
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Further readings for Iskrev identification test:
a. Iskrev (2010, JME), [pdf]
b. Implementing Iskrev test in Dynare, [pdf]
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Dynare codes for some examples:
a. Estimating China's production function with factor utilization [file] [Data]
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Lecture 5: Dynamics in Deterministic Dynamic General Equilibrium Models
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Notes: [pdf]
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Dynare codes:
a. Transitional path in a RBC model [file]
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