E1EMA1: Macroeconometrics

Cristian Maravi

2020-I

E-mail: [email protected] Web: sites.google.com/view/cristianmaravi

Office Hours: TBA Class Hours: Wed & Fri 9:00-11:00 am/Thu 8:00-9:00am
Office: E220 Class Room: UDeP-virtual

Recitation: Thu 9:00-11:00 am TA: Gabriel García Obando

Course Description
This class is mandatory for economic undergraduates. Students in this course will learn complex
techniques of macroeconometric models to apply on very practical matters such as the study of
economic policy.

This course will study the analysis of data observed at different points of time. Topics in-
clude stationary and non-stationary time series models, linear time series models, autoregres-
sive models, autocorrelations, partial autocorrelations, moving average models, ARMA models,
ARIMA models, forecasting, prediction limits, model specification, least square estimation, sea-
sonal time series models, maximum likelihood estimation (MLE), reduced and structural vector
auto-regressive models (VAR and SVAR), unit root theory, co-integration and vector corrected
error and Bayesian estimation. Computer statistical packages will be used and it will be mainly
implemented using RStudio.

Required Materials
• Course notes available on UDeP virtual and SIGA.

• Books:

– Enders, Walter (2001): “Applied Econometric Time Series”

– Hamilton, James (1994): “Time Series Analysis”. Princeton University Press.
– Hayashi, F (2000): “Econometrics” Princeton University Press.
– Novales, Alfonso (1995). “Econometría”. Universidad de Madrid. Editorial McGraw
Hill.

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– Cochrane, John (2005): “Time Series for Macroeconomics and Finance”.

– Stock, James H. and Mark W. Watson (2007): “Introduction to Econometrics”. Oxford
University Press.
– Wooldridge, J. (2011): “Introductory Econometrics”
– Harvey, A (1990) “Forecasting, Structural Time Series Models and the Kalman Filter”
Cambridge University Press (1990).
– Kim C.-J. and Nelson RN (1999) “State-Space Models with Regime Switching”

Prerequisites
Prerequisites: E1FEC

Course Objectives
1. Provide the student with a set of practical tools for econometric and time series analysis.

2. Students should be able to apply time series analysis to empirical problems in macroeco-
nomics.

3. Students will develop a critic view of macroeconomic problems and suggest reasonable
methodologies to understand them.

4. At the end of this course, students should be able to generate research questions about
modern macroeconomic topics that could be materialized as an undergraduate thesis.

Course Structure
Class Structure
We will meet on a weekly base (twice a week) via Zoom. The links for online classes are available
at UDeP virtual homepage and the recorded classes will be available shortly after each class. It
is important that you read the text book(s) and lecture notes regularly, understand the problems
worked out in the text and practice by doing the problems. Doing the homework problems is
absolutely essential to get a better grade in this course.

In addition, students will have recitation classes once a week. The TA of the class will solve
homeworks after each homework past its due. The TA will also conduct laboratory sessions
where RStudio will be taught.

Assessments
Class participation

Students won’t have an official grade for class participation but each participation will be con-
sidered by the instructor to increase homework grades. Thus, each student is encouraged to
participate actively during class.

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Homework evaluations

There will be 4 homeworks during the semester and they will be given and announced in your
SIGA and UDeP virtual. After the due date, the TA will go over the solution during recitation
via Zoom. In addition, laboratory sessions will be given where you will learn basic program
skills on R by using RStudio. Homework sessions are required to be submitted in a pdf format.
You can use Latex to do so, or you can just simply scan your worksheet in a pdf file. Note: each
homework grade is necessary, they are not voidable nor they can’t be replaced by another
grade.

Final Exam and Class Project

The final exam will be announced by the academic coordinator. In addition, students are required
to form groups of 5 by the 6th week of classes. The instructor will explain the class project during
the class, once the groups are formed.

Grading Policy
The grade will count the assessments using the following proportions:

• 40% of your grade will be determined by the final exam.

• 20% of your grade will be determined by the class project.

• 40% of your grade will be determined by your homeworks (10% each)

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Course Policies
During Class
I understand that the electronic recording of notes will be important for class and so computers will be allowed in
class. Please refrain from using computers for anything but activities related to the class. Phones are prohibited to use
during the online sessions as they are rarely useful for anything in the course. Eating and drinking are not allowed
during online class.

Emailing Format
Email is an important means to communication in everyday life as well as in this course. Due to the large amount of
emails sent to me every day, and due to different courses I am teaching, I suggest you clearly write a subject in the
email, and in the subject, clearly tell which course you are from. For example, a good email subject would be like:

Subject: E1EMA1: Question about #3 in HW1

Thus, I can quickly locate your problem and will reply quickly.

Emails which don’t have a clear subject may be simple ignored!

Attendance Policy
Attendance is expected in all lecture and recitations. Valid excuses for absence will be accepted before class. In
extenuating circumstances, valid excuses with proof will be accepted after class. Even though full attendance is
recommended, there won’t be penalties if it is not satisfied. In contrast, students who attend more than 90% of classes
will be rewarded by receiving 0.5 points that can be added to the class average grade.

Policies on Incomplete Grades and Late Assignments

If an extended deadline is not authorized by the instructor or department, an unfinished incomplete grade will
automatically change your grade to 0.
Late assignments will be accepted for no penalty if a valid excuse is communicated to the instructor before the
deadline. After the deadline, assignments will be accepted for a 50% deduction to the score up to 2 days after the
deadline. After this any assignments handed in will be given 0.

Academic Integrity and Honesty

Students are required to comply with the university policy on academic integrity found in the Code of Student
Conduct found at http://udep.edu.pe/conocelaudep/transparencia/. In addition, you are strongly recommended
to follow the university recommendation for communications and usage of virtual tools during this exceptional period
of time (due to COVID-19), posted in your SIGA.

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Tentative Schedule
The schedule is tentative and subject to change. The learning goals below should be viewed as the key concepts you
should grasp after each week, and also as a study guide before each exam, and at the end of the semester. Each exam
will test on the material that was taught up until 1 week prior to the exam.

Week 01, 03/30 - 04/03: Quick Review

• Asymptotic theory.
• Maximum Likelihood estimator.
• Lag and lead operators, differential equations.

Week 02, 04/06 - 04/10: ARIMA 1

• ARMA and ARIMA Models.

Week 03, 04/13 - 04/17: ARIMA 2

• Identification and model validation.
• Box-Jenkings Methodology.

Week 04, 04/20 - 04/24: Forecast

• Forecasting, MSE.
• Filtering.

Week 05, 04/27 - 05/01: VAR

• Vector Auto-Regressive Models.
• Structural Vector Auto-Regressive Models.

Week 06, 05/04 - 05/08: Unit Root

• Unit Root theory
• Test for unit root

Week 07, 05/11 - 05/15: MCE

• Co-integration and vector corrected error models.

Week 08, 05/18 - 05/22: ARCH

• Heterokedastic volatitlity models.
• GARCH

Week 09, 05/25 - 05/29: Threshold models

• STAR models

Week 10, 06/01 - 06/05: MS-VAR

• Markov switching VAR models

Week 11, 06/08 - 06/12: Bayesian Estimation

• MCMC models

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