Political Economy Research Group PhD lecture series: macroeconometrics

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Time: 12.15pm - 2.00pm
Venue: Room 0114, Main Building, Penrhyn Road campus, Penrhyn Road, Kingston upon Thames, Surrey KT1 2EE
Price: free
Speaker(s): Dr Rob Jump, Kingston University

This lecture is part of the PhD lecture series co-organised by the University of Greenwich and Kingston University.

Download the full programme (PDF).

This lecture provides a short introduction to contemporary macroeconometrics. We start by discussing descriptive statistics in multiple time series, including time plots, histograms, scatter plots, autocorrelation plots, and cross-correlograms. We then discuss the VAR model as a useful way of describing multiple time series data, and the relation between VAR and VMA models. Finally, we discuss the extent to which structural shock processes can be recovered from forecast errors in VAR models, and the extent to which exogenous variables can be included in VAR models.

Core readings

• Hendry, D. Dynamic Econometrics (1995), chapters 1 and 2
• Enders, W. Applied Econometric Times Series (2014), chapters 2 and 5
• Sims, C. "Macroeconomics and reality" (1980), Econometrica
• Sims, C. "Policy analysis with econometric models" (1982), Brookings Papers on Economic Activity
• Juselius, K. "Time to reject the privileging of economic theory over empirical evidence? A reply to Lawson" (2011), Cambridge Journal of Economics

All welcome.

Please click here to view the lecture slides.

For further information about this event:

Contact: Rafael Wildauer
Email: R.Wildauer@kingston.ac.uk