Empirical Macroeconomics Reading List

Part I: Structural VAR's

Lecturer: Anders Warne
IIES, Stockholm University
October, 1996

Literature

• Cooley, T.F. and S.F. LeRoy (1985), "Atheoretical macroeconometrics: a critique'', Journal of Monetary Economics, 16, 283--308.
• Englund, P., Vredin, A. and A. Warne (1994) "Macroeconomic Shocks in an Open Economy'', in Bergstr¨om, V. and A. Vredin (Eds.) Measuring and Interpreting Busi- ness Cycles, 128--213, Clarendon Press, Oxford.
• Hamilton, J. D. (1994), Time Series Analysis, Princeton University Press (chapter 11).
• Jacobson, T., Vredin, A. and A. Warne (1996), "Common Trends and Hysteresis in Unemployment'', Seminar Paper no. 585, IIES, Stockholm University.
• Johansen, S. and K. Juselius (1990), "Maximum likelihood estimation and inference on cointegration -- with applications to the demand for money'', Oxford Bulletin of Economics and Statistics, 52, 169--210.
• King, R.G., Plosser, C.I., Stock, J.H. and M.W. Watson (1991), "Stochastic trends and economic fluctuations'', American Economic Review, 81, 819--840.
• Lütkepohl, H. (1991), Introduction to Multiple Time Series Analysis, Springer--Verlag, Berlin (chapter 2).
• Mellander, E., Vredin, A. and A. Warne (1992), "Stochastic trends and economic fluctuations in a small open economy'', Journal of Applied Econometrics, 7, 369--394.
• Runkle, D. E. (1987), "Vector Autoregressions and Reality'', Journal of Business and Economic Statistics, 5, 437--454.
• Sims, C.A. (1980), "Macroeconomics and Reality'', Econometrica, 48, 1--48.
• Stock, J.H. and M.W. Watson (1988), "Variable trends in economic time series'', Journal of Economic Perspectives, 2, 147--174.