Econometrics: Doctoral School

Introduction to R

Topic 0: Introduction to R pdf and R codes and dataJIE.csv

R-project site (link)
Manuals (link)
Kleiber Ch. oraz Zeileis A., Appied Econometrics with R)
P. Kuhnert & B. Venables, An Introduction to R: Software for Statistical Modeling & Computing
R project, An Introduction to R

COURSE MATERIALS

Rubaszek M., Bech-Wysocka K., Szafranek K., 2022. Materials for the course ``Econometrics - Doctoral School'', Warsaw (download)

Part 1. Econometric regression

Topic 1: Linear regression.

Topic 2: Endogeneity and Instumental Variables.

R scripts: B1codes.zip

Part 2. Panel data

Topic 3: Panel regression

Topic 4: Bayesian Model Averaging.

R scripts: B2codes.zip

Part 3. Time series models

Topic 5: Imulse Response Functions.

Topic 6: ARMA models.

Topic 7: VAR models. Presentation of methods application (download)

Topic 8: Time series forecasting. Presentation of methods application (download)

Topic 9: Bayesian VAR.

R scripts: B3codes.zip

Readings - books:

Hill R., W. Griffiths and G. Lim, 2018. Principles of Econometrics, Wiley

Lutkepohl H., Kratzig M. (2004). Applied Time Series Econometrics, Cambridge University Press

Readings - articles:

Ca' Zorzi Michele, Marcin Kolasa and Michał Rubaszek, 2017. Exchange rate forecasting with DSGE models, Journal of International Economics 107: 127-146 (link and presentation)

Kolasa Marcin and Michał Rubaszek, 2018. Does foreign sector help forecast domestic variables in DSGE models?, International Journal of Forecasting 34(4): 809-821 (link and presentation)

Ca' Zorzi, M., Muck, J., Rubaszek, M., 2016. Real exchange rate forecasting and PPP: this time the random walk loses. Open Econ. Rev. 27 (3), 585–609. (link)

Helmut Luetkepohl, 2011. Vector Autoregressive Models, EUI WP ECO2011/30, (link)

Smets F., Peersman G., 2001. The monetary transmission mechanism in the Euro area: more evidence from VAR analysis, ECB Working Paper Series 091 (link)

Clarida R., J. Gali, 1994. Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks? NBER Working Paper No. 4658 (link)

Alistair Dieppe, Romain Legrand and Björn van Roye, 2016. The BEAR toolbox, ECB WP 1934 (link)

Zeugner, Stegan, Bayesian Model Averaging with BMS," 2011, (link)

Faust, J., Wright, J.H., 2013. Forecasting inflation. In: Elliott, G., Timmermann, A. (Eds.), Handbook of Economic Forecasting. vol. 2. Elsevier., pp. 2–56. (link)

Robertson J.C., Tallman E.W., 1999. Vector autoregressions: forecasting and reality, Economic Review, Federal Reserve Bank of Atlanta, issue Q1, pages 4-18 (link)

Banbura M., D. Giannone, L. Reichlin, 2010. Large Bayesian vector auto regressions, Journal of Applied Econometrics 25(1), 71-92 (link)

Barbara Rossi, 2014. Density forecasts in economics and policymaking, CREI WP 37 (link)

GRADES (max 40 points, 3x10 for each report, 3 points for activity, 7 points for exam)

Reguirements to pass the course:
1. At least 20 points
2. At least 5 points for each project