Lecture slides
Simultaneus equation model
Haavelmo bias and IV estimation
3 Stage Least Squares
General to Specific methodology, DL models
ADL model, Granger causality, lag and differance operators, seasonality
Nonstationarity, unit root testing, spourious regression
Error Correction Model (ECM), Vector Autoregressive Models (VAR)
VAR models, reaction fanctions, shock identification, Vector ECM (VECM)
VECM identification of cointegrationg vectors
Forecast variance decomposition, Structural VARs
Generalized Method of Moments (GMM), estimating models with rational expectations
State Space models and Kalman filter
HP filter, Markov switching models

Empirical part of exam

Exams - previous years

Exam questions - examples

September makeup exam results


Katarzyna Rosiak-Lada

Piotr Wójcik

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