Please Note if you downloaded Section 6 for GMM before 6 am on Sunday, July 26. I uploaded a revised version around 6 a.m.
A. Lecture Notes for
2009 GCOE Special Lectures from Masao
Ogaki, Kyungho Jang, Hyoung-Seok Lim, Youngsoo Bae, and Yuko Imura (2009,), Structural
Macroeconometrics (work in progress)
Please
note that the section number below does not match the chapter number of the
book. If a section below does not have a link, I am still revising the
manuscript and will upload the revised version later before the session that
covers the section.
1. ARMA and Vector Autoregression Representations
2. Stochastic Regressors in
Linear Models (Asymptotic Theory, Monte Carlo, and Bootstrap)
3. Estimation of the Long-Run
Covariance Matrix
4. Testing Linear Forecasting
Models
5. Vector Autoregression
Techniques
6. Generalized Method of
Moments
7. Empirical Applications of
GMM
8. Extremum Estimators
(Minimum Distance and Maximum Likelihood)
10. Unit Root
Nonstationary Processes
11. Cointegrating and
Spurious Regressions
12. Economic Models and
Cointegrating Regressoins
13. Vector
Autoregressions with Unit Root Nonstationary Processes
14. Panel and Cross-Sectional
Data
B. The April 2008 version of the Lecture Notes is available below. I recommend that you read Chapters 1-3 before the lecture on Monday, July 27.
· Lecture Notes (as of April 2008)