Empirical Macroeconomics Reading List

Part 2: Structural Econometrics

Lecturer: Paul Söderlind
Stockholm School of Economics
October 28, 1996

Literature

Note: * denotes required reading.

1 Regression Analysis with Endogeneous variables and Rational Expectations

• * Green chapter 20.1-20.4 or Hamilton chapters 8.2 and 9.1.
• * Blanchard and Fischer (1989), Lectures on Macroeconomics, pp. 279-288, 356-361.
• * Deaton, A. (1992), Understanding Consumption, 63-70 and Chapter 3, Oxford University Press.
• * Mishkin, F.S. (1983), A Rational Expectations Approach to Macroeconometrics, Chapter 2, NBER.
• Flavin, M.A. (1981), "The Adjustment of Consumption to Changing Expectations about Future Income," Journal of Political Economy, 89, 974-1009.
• Hall, R.E. (1988), "\Intertemporal Substitution in Consumption," Journal of Political Economy, 96, 339-357.
• Lafontaine F., and K.J. White (1986), "Obtaining Any Wald Statistic You Want," Economics Letters, 21, 35-40.
• Newey, W.K., and K.D. West (1985), "A Simple Positive Semi-definite, heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, 55, 703-708.

2 GMM

• * Greene (1990), Econometric Analysis, pp. 117-123, and 370-381, MacMillan. OR
• * Hamilton (1994), Time Series Analysis, pp. 409-434, Princeton University Press.
• Mankiw, N.G, J.L. Rotemberg, and L.H. Summers (1985), "Intertemporal Substitution in Macroeconomics", The Quarterly Journal of Economics, 225-251.
• Davidson and MacKinnon (1993), pp. 583-621, Estimation and Inference in Econometrics, Oxford University Press.
• * Christiano L.J., and M. Eichenbaum (1992), "Current Real-Business-Cycle Theories and Aggregate Labor-Market Fluctuations," American Economic Review, 82, 430-450.
• Hansen, L.P., and K. Singleton (1982), "Generalized Instrumental variable Estimation of Nonlinear Rational Expectations Models," Econometrica, 50, 1269-1286.
• Ogaki, M. (1993), "Generalized Method of Moments: Econometric Applications," in Handbook of Statistics, vol. 11, Elsevier.
• Campbell J.Y., and N.G. Mankiw (1989), NBER Macroeconomics Annual, 185-216.

3 Kalman Filter and Structural Time Series Models

• * Harvey, A.C. (1981), Time Series Models, Ch. 4, Philip Allan Publishers Ltd. OR
• * Hamilton (1994), Time Series Analysis, pp. 372-408, Princeton University Press.
• McGrattan, E. (1994), "The Macroeconomic Effects of Distortionary Taxation," Journal of Monetary Economics, 33, 573-601.

4 Extracting market Expectations from Financial Prices

• Söderlind, P. and L.E.O. Svensson, "New Techniques to Extract Market Expectations from Financial Instruments," mimeo.