Chapter 1: Preliminaries

Chapter 2: DSGE Models, Solutions and Approximations

Chapter 3: Extracting and Measuring Cyclical Information

Chapter 4: VAR Models 105

Chapter 5: GMM and Simulation Estimators 157

Chapter 6: Likelihood methods 201

Chapter 7: Calibration 235

Chapter 8: Dynamic Macro Panels 273

8.1 From economic theory to dynamic panels .. . . . 274

8.2 Panels with Homogeneous dynamics . . 276

8.3 Dynamic heterogeneity . . 288

8.4 To Pool or not to Pool?. 298

8.5 Is Money superneutral? . . . . . . . . . . . . . . . . . . . . . . . . . . . 304

Chapter 9: Introduction to Bayesian Methods 309

9.1 Preliminaries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 310

9.2 Decision Theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 318

9.3 Inference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 319

9.4 Hierarchical and Empirical Bayes models . . . . . . . . . . . . . . . . 328

9.5 Posterior simulators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 336

9.6 Robustness . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 352

9.7 Estimating Returns to scale: Spain (1979-1999) . . . . . . . . . . . . 352

Chapter 10: Bayesian VARs 355

10.1 The Likelihood function of an m variable VAR(q) . . . . . . . . . . 356

10.2 Priors for VARs . . . . 357

10.3 Structural BVARs
. . 372

10.4 Time Varying Coe.cients BVARs . . . . . . . . . . . . . . . . . . . . 379

10.5 Panel VAR models . . . 384

10.5.4
Indicators . . . 395

10.5.5
Impulse responses . . . . 396

Chapter 11: Bayesian time series and DSGE models 399

11.1 Factor Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 400

11.2 Stochastic Volatility Models
. . 408

11.3 Markov switching models .. . . 414

11.4 Bayesian DSGE Models. . 420

Appendix 443