Macroeconometrics (ECOM40003)

This subject provides an advanced discussion of the main techniques used in macroeconometric analysis. The topics covered in this course will be selected from the following broad areas: (1) Univariate analysis of stationary and non stationary series including ARIMA possesses, unobserved components models, business cycle turning point extraction, regime switching and time varying volatility. (2) Estimation of single equation models with a focus on Euler equations that emerge via optimisation. (3) Estimating multiple equation models including reduced form and structural VARs and factor models. In covering these topics the course will focus on developing the skills to undertake rigorous applied macroeconometric research. Particular attention will be paid to the issues that arise when the time series being studied is non-stationary. Successful completion of the course will require use of the computer language GAUSS.