Lecture Notes in Empirical Macroeconomics

 

 

为了各位同学购买，特留下本notes的目录

由于是notes，所以本书极为精练，没有废话，个人极为喜欢这种风格。

1 Instrumental Variable Method ................................................3 1.1 Consistency of Least Squares or Not? . . . . . . . . . . . . . . . . . 3 1.2 Reason 1 for IV: Measurement Errors . . . . . . . . . . . . . . . . . 3 1.3 Reason 2 for IV: Lagged Dependent Variable + Autocorrelated Shocks 5 1.4 Reason 3 for IV: Simultaneous Equations Bias (and Inconsistency) . . 5 1.5 Definition of the IV Estimator—Consistency of IV . . . . . . . . . . 9 1.6 Hausman’s Specification Test . . . . . . . . . . . . . . . . . . . . . . 15 1.7 Tests of Overidentifying Restrictions in 2SLS . . . . . . . . . . . . 16 2 Non-Spherical Errors............................................................ 18 2.1 Summary of Least Squares . . . . . . . . . . . . . . . . . . . . . . . 18 2.2 Heteroskedasticity . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 2.3 Autocorrelation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 2.4 Variance of a Sample Average (more details) . . . . . . . . . . . . . . 22 2.5 The Newey-West Estimator . . . . . . . . . . . . . . . . . . . . . . . 25 2.6 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27 3 Vector Autoregression (VAR) .................................29 3.1 Estimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29 3.2 Canonical Form . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29 3.3 Moving Average Form and Stability . . . . . . . . . . . . . . . . . . 30 3.4 Granger Causality . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32 3.5 Forecasts Forecast Error Variance . . . . . . . . . . . . . . . . . . . 34 3.6 Forecast Error Variance Decompositions . . . . . . . . . . . . . . . 35 3.7 Structural VARs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36 3.8 Cointegration, Common Trends, and Identification via Long-Run Restrictions37

4 Monetary Policy in VAR Systems....................................... 53 4.1 VAR System, Structural Form, and Impulse Response Function . . . . 53 4.2 Fully Recursive Structural Form . . . . . . . . . . . . . . . . . . . . 54 4.3 Some Controversies . . . . . . . . . . . . . . . . . . . . . . . . . . . 57 4.4 Summary of Some Important Results from VAR Studies of Monetary Policy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60 5 Microfoundations of Monetary Policy Models .......................78 5.1 Dynamic Models of Sticky Prices . . . . . . . . . . . . . . . . . . . 78 5.2 Aggregate Demand . . . . . . . . . . . . . . . . . . . . . . . . . . . 83 5.3 Recent Models for Studying Monetary Policy . . . . . . . . . . . . . 84 A Summary of Solution Method for Linear RE Models 91 7 Solving Linear Expectational Difference Equations ...........93 7.1 The Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93 7.2 Matrix Decompositions . . . . . . . . . . . . . . . . . . . . . . . . . 95 7.3 Solving . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97 7.4 Time Series Representation . . . . . . . . . . . . . . . . . . . . . . 102 8 A menu of Different Policy Rules ................................103 8.1 A “Simple” Policy Rule . . . . . . . . . . . . . . . . . . . . . . . . . 103 8.2 Optimal Policy under Commitment . . . . . . . . . . . . . . . . . . . 104 8.3 Discretionary Solution . . . . . . . . . . . . . . . . . . . . . . . . . 106 9 Estimation of New Keynesian Models ...................109 9.1 “New Keynesian Economics and the Phillips Curve” by Roberts . . . 109 9.2 “Solution and Estimation of RE Macromodels with Optimal Monetary Policy” by S¨oderlind . . . . . . . . . . . . . . . . . . . . . . . . . . 111 9.3 “Estimating The Euler Equation for Output” by Fuhrer and Rudebusch 112 9.4 “New-Keynesian Models and Monetary Policy: A Reexamination of the Stylized Facts” by S¨oderstr¨om et al . . . . . . . . . . . . . . . . . 113

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