Lecture slides and replication files for Econ 210D

Slides and code for a given lecture should appear on this site some time before the indicated lecture.

• Lecture 1: Wed Oct 4 (Forecasts and VARs)
• slide format
• handout format
• data and code
• Lecture 2: Mon Oct 9 (Recursively orthogonalized VARs)
• slide format
• handout format
• data and code
• Lecture 3: Wed Oct 11 (Identification using nonrecursive structure, long-run restrictions and heteroskedasticity)
• slide format
• handout format
• data and code for nonrecursive VAR
• data and code for long-run restrictions
• Lecture 4: Mon Oct 16 (Sign restrictions)
• slide format [Updated Oct 16 at 10:00 a.m.]
• handout format
• data and code
• Lecture 5: Mon Oct 23 (Inference when identifying assumptions are doubted)
• slide format [Updated Oct 23 at 10:50 a.m.]
• handout format
• data and code
• Lecture 6: Wed Oct 25 (Event studies and high-frequency data) [Updated Nov 1 at 12:55 p.m.]
• slide format
• handout format
• Romer-Romer data
• Lecture 7: Mon Oct 30 (IV estimation)
• slide format
• handout format
• Documentation and data and replication files for Stock-Watson (2012)
• Lecture 7a: Wed Nov 1 (IV estimation continued)
• Lecture 8: Mon Nov 6 (Factor models) [Updated Nov 6 at 10:09 a.m.]
• slide format
• handout format
• Data and code for principal components and FAVAR
• Lecture 9: Wed Nov 8 (Intro to yield curve)
• slide format
• handout format
• Constantly updated daily data for nominal yields and real yields
• Lecture 10: Mon Nov 13 (Affine term structure models) [Updated Nov 15 at 8:49 a.m.]
• slide format
• handout format
• Code for minimum chi square estimation
• Constantly updated daily data for term premia
• Lecture 11: Wed Nov 15 (Forward guidance)
• slide format
• handout format
• Data developed by Gurkaynak, Sack, and Swanson (2005)
• Data and programs for Campbell, et al. (2012)
• Lecture 12: Mon Nov 20 (Monetary policy at the zero lower bound: empirical evidence)
• slide format
• handout format
• Lecture 13: Mon Nov 22 (Monetary policy at the zero lower bound: theory)
• slide format
• handout format
• Hamilton-Wu database
• Wu-Xia series for the shadow rate and software for estimation
• Lecture 14: Mon Nov 27 (Inflation) [Updated Nov 27 at 7:59 a.m.]
• slide format
• handout format
• Lecture 15: Wed Nov 29 (Business cycles and changes in regime)
• slide format
• handout format
• Links to code for estimating regime-switching models
• Lecture 16: Wed Dec 6 (Heterogeneity and unemployment)
• slide format
• Data and code

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