COURSE Econ.

589: Macroeconometric Analysis

INSTRUCTOR Chetan Dave
TERM Winter 2021
LECTURE DAYS Tuesdays
LECTURE TIMES 1:00pm-3:50pm
LECTURE LOCATIONS Online

INSTRUCTOR’S CONTACT INFORMATION

Office Phone (780) 492-7645

Office Location Tory Building 9-18
Email Address cdave@ualberta.ca
Office Hours Email appointment is best

COURSE INFORMATION

Pre-requisites Restricted to graduate students.

Course Description The aim of this course is to introduce students to applied structural
dynamic stochastic general equilibrium (DSGE) modeling. The course
will employ various DSGE models with a focus on estimation and testing
for inference. As a part of the course, students will be exposed to
advanced solution techniques for stochastic difference equations and
general modeling setup. The main body of the course will include the
following empirical DSGE evaluation methods: calibration, maximum
likelihood and Bayesian estimation procedures. Additional topics that
may be covered will include the method of moments and indirect
inference. Technical prerequisites for the course are an understanding
of multivariate calculus and matrix algebra and knowledge of basic
econometric techniques.

Textbooks DeJong, D. N. and C. Dave, 2011. Structural Macroeconometrics, 2nd

edition, Princeton University Press, ISBN-13: 978-0691152875.

Notes: This textbook is required.

Teaching Methods This is a lecture based course and class participation from students is
strongly encouraged.

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COURSE POLICIES

Grading Criteria Each of the two take home exams in this course count for 40% of the
final grade. Assignments will be handed out throughout the term (4 such
assignments) and will count for a total of 20% of the final grade. Grades
are based solely on exams and assignments; there will be no extra credit
or additional work in exchange for grades. The numeric to letter grade
mapping is as follows.

Numeric Grade Letter Grade

90-100 A+
85-89 A
80-84 A-
77-79 B+
74-76 B
70-73 B-
67-69 C+
64-66 C
60-63 C-
57-59 D+
54-56 D
50-53 D-
0-49 F

Attendance and Students are expected to attend class regularly and be prepared to
Conduct participate. This means that students will have completed the assigned
readings and other materials ahead of time. Students are expected to
treat everyone in the classroom with respect. Please remember to turn
off or set your cellular phones to vibrate. You are responsible for any
announcements made or information given during class; exams will be
based on lecture material and required readings.

Additional The Student Success Centre (www.studentsuccess.ualberta.ca) offers a

Resources variety of learning resources, including a variety of workshops in
learning effective study and exam strategies. Sessions are available in
person and online, for a modest fee.

University Policy Policy about course outlines can be found in the Evaluation Procedures
and Notices and Grading System section of the University Calendar. The University
of Alberta is committed to the highest standards of academic integrity
and honesty. Students are expected to be familiar with these standards
regarding academic honesty and to uphold the policies of the University
in this respect. Students are particularly urged to familiarize themselves
with the provisions of the Code of Student Behavior (online at

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 www.governance.ualberta.ca) and avoid any behavior which could
potentially result in suspicions of cheating, plagiarism,
misrepresentation of facts and/or participation in an offence. Academic
dishonesty is a serious offence and can result in suspension or expulsion
from the University (http://www.ualberta.ca/current-
students/academic-resources/academic-integrity). Audio or video
recording, digital or otherwise, of lectures, labs, seminars or any other
teaching environment by students is allowed only with the prior written
consent of the instructor or as part of an approved accommodation
plan. Student or instructor content, digital or otherwise, created and/or
used within the context of the course is to be used solely for personal
study, and is not to be used or distributed for any other purpose without
prior written consent from the content author(s).

System https://www.ualberta.ca/information-services-and-
Requirements technology/services/software-hardware-vendors/technology-
requirements.html

There is an alternative way to access UofA email. Details are available

here: Email and Calendaring | Information Services and Technology

COURSE OUTLINE

Week 1. Introduction, Notation

Week 2. Notation, Introduction to Coding

Week 3. Example Models and Data, Coding

Week 4. Example Models and Data, Coding

Week 5. Linearization and Linear Solutions, Take Home Exam 1 due February 23, 2021

Week 6. SPRING BREAK (February 16-19, 2021)

Week 7. Isolating Cycles in Data

Week 8. Summarizing Time Series Behavior

Week 9. Calibration

Week 10. Calibration

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Week 11. Maximum Likelihood

Week 12. Maximum Likelihood

Week 13. Bayesian Methods

Week 14. Bayesian Methods, Take Home Exam 2 due April 16, 2021