Econ 741 (second half of the class)   Instructor: Francois Gourio

Syllabus

Lecture Notes   (to be  updated  regularly)

Notes on Kalman Filter

RBC, News Shocks and Long Run Shocks:      Handout (to be updated)       Matlab program

This program solves a RBC model (with adjustment cost) and with either news shocks, long-run shocks, or standard unit root shocks.

Some Matlab programs (by Paul Klein and Chris Sims)  you need to run this:   solab  qzswitch  qzdiv

Assignements:

Problem 1                  Answer Key               Matlab program

Problem 2                  Answer Key

Problem 3                  Answer Key

Exam:

Final exam

Final exam answer key

Student Presentations:   slides of the presentations.

Campbell-Cochrane 1999 JPE

Brandt, Cochrane, Santa-Clara 2005 JME

Tallarini 2000 JME

Lustig and Van Nieuwerburgh 2005 RFS (typo in consumption number : .008 not .08)

Rotemberg-Woodford 1996 AER

Aguiar and Gonipath WP 2006

Basu Fernald Kimball AER 2006

McGrattan and Prescott WP 2006

Cochrane QJE 1994

Lettau and Ludvigson WP 2005

Edge, Laubach and Williams WP 2004

Collard and Portier WP 2006