Methods for Applied Macroeconomic Research Book

Preface     xi
Preliminaries     1
Stochastic Processes     2
Convergence Concepts     3
Time Series Concepts     8
Laws of Large Numbers     14
Central Limit Theorems     16
Elements of Spectral Analysis     18
DSGE Models, Solutions, and Approximations     26
A Few Useful Models     27
Approximation Methods     45
Extracting and Measuring Cyclical Information     70
Statistical Decompositions     72
Hybrid Decompositions     83
Economic Decompositions     100
Time Aggregation and Cycles     104
Collecting Cyclical Information     105
VAR Models     111
The Wold Theorem     112
Specification     118
Moments and Parameter Estimation of a VAR(q)     126
Reporting VAR Results     130
Identification     141
Problems     151
Validating DSGE Models with VARs     159
GMM and Simulation Estimators     165
Generalized Method of Moments and Other Standard Estimators     166
IV Estimation in a Linear Model     169
GMMEstimation; An Overview     176
GMM Estimation of DSGE Models     191
Simulation Estimators     197
Likelihood Methods     212
The Kalman Filter     214
The Prediction Error Decomposition of Likelihood     221
Numerical Tips     228
ML Estimation of DSGE Models     230
Two Examples     240
Calibration     248
A Definition     249
The Uncontroversial Parts     250
Choosing Parameters and Stochastic Processes     252
Model Evaluation     259
The Sensitivity of the Measurement     279
Savings, Investments, and Tax Cuts: An Example     282
Dynamic Macro Panels     288
From Economic Theory to Dynamic Panels     289
Panels with Homogeneous Dynamics     291
Dynamic Heterogeneity     304
To Pool or Not to Pool?     315
Is Money Superneutral?     321
Introduction to Bayesian Methods     325
Preliminaries     326
Decision Theory     335
Inference     336
Hierarchical and Empirical Bayes Models     345
Posterior Simulators      353
Robustness     370
Estimating Returns to Scale in Spain     370
Bayesian VARs     373
The Likelihood Function of an m-Variable VAR(q)     374
Priors for VARs     376
Structural BVARs     390
Time-Varying-Coefficient BVARs     397
Panel VAR Models     404
Bayesian Time Series and DSGE Models     418
Factor Models     449
Stochastic Volatility Models     427
Markov Switching Models     433
Bayesian DSGE Models     440
A Statistical Distributions     463
References     469
Index     487