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Semester 1 - Online
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Decision making in central banks, consulting firms, and other institutions relies on advanced empirical analyses of economic data. This subject provides a cutting-edge econometric methodology for empirical macroeconomic research. The focus is put on modelling unit-root nonstationary processes that describe many economic time series well. Applications of the considered econometric techniques include forecasting and nowcasting macroeconomic variables including using big data, estimating the effects of monetary policy, as well as modelling of trend inflation. Topics in Climate Change include forecasting CO2 emissions for the 21st century and modelling long-run trends in global temperatures. Particular attention is paid to developing programming skills that allow for performing rigorous applied macroeconomic research in R.
Intended learning outcomes
On successful completion of this subject students should be able to:
- Apply quantitative analysis to model and forecast the essential variables and quantities for the empirical macroeconomic research.
- Understand, derive, and program estimation algorithms for univariate and multivariate structural models and for economically interpretable quantities such as impulse response functions and forecast error variance decompositions, inflation trend, output gap, etc.
- Comprehend and apply Bayesian analysis of unit-root nonstationary variables in uni- and multi-variate systems.
- Forecast economic variables of interest, with the focus on density forecasting, using big data with dedicated models applying appropriate numerical techniques that make the task computationally feasible.
- Use structural multivariate models to identify the monetary policy shock and estimate its effect on the real business cycle indicators.
- Understand and estimate state-space models in macroeconomic applications.
- Apply macroeconomic modeling in climate change topics.
On successful completion of this subject students should have improved the following generic skills:
- Evaluation of ideas, views and evidence;
- Synthesis of ideas, views and evidence;
- Critical thinking;
- Summary and interpretation of information;
- Using computer programs;
- Problem solving skills;
- Written communication.
Last updated: 18 December 2020