Sumários

lecture

25 Novembro 2024, 09:30 • Adriana Cornea-madeira

We solved a mock exam.

lecture

18 Novembro 2024, 09:30 • Adriana Cornea-madeira

We discussed about the MLE estimation of state space models, about discrete-state variables and wrote the Markov switching model in state-space representation.


We then moved onto discussing about the PCA, and gave an example of the current application of the PCA in macroeconomics to identify monetary policy shocks.

lecture/tutorial

11 Novembro 2024, 09:30 • Adriana Cornea-madeira

We continued to discuss about the Kalman filter (how to obtain the smoothed series, forecasts, how to deal with missing observations, what are the implications of non-normality assumptions for the errors). We also discussed about the time varying coefficient model, and looked at an example of the UC-SV model to forecast US inflation. We illustrated the Kalman filter in R, estimating and forecasting an AR model. We solved some old homework.

lecture/tutorial

4 Novembro 2024, 09:30 • Adriana Cornea-madeira

We estimated a Markov Switching model with 2 regimes in R on the returns of monthly house prices in UK. We discussed about the state-space representation of dynamic linear models, and started to illustrate the idea of the Kalman filter.

lecture/tutorial

28 Outubro 2024, 09:30 • Adriana Cornea-madeira

We discussed the Markov Switching Model and the TAR/SETAR model. We also solved some exercises of homework 2.