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06/29/15
EC7059 Applied Macroeconometrics | readinglists@leicester
EC7059 Applied Macroeconometrics

(Semester Two 2014-15)
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75 items
Reading list (6 items)
Given the nature of the course, there is no one textbook that covers everything, and that
is
at the right level. I write my own detailed lecture notes, and these will be given to you
chapter by
chapter (as I update them). My lecture notes will be your core reading. I would also like
you to read
around. I always found that the best way to learn something is by reading around, even if
it appears
aimless, just out of curiosity. Detailed reference lists consisting mainly of journal articles
are given
topic by topic, in the module outline section below.
There are many excellent textbooks on time series techniques, some of which are listed
below.
Applied econometric time series - Walter Enders, 2010
Book | Background | This textbook by Enders is the most introductory book on this
topic. The intuition behind
the mathematics is explained very well. However, it does not go in-depth enough for this
course.
This books seems to me to focus more on breadth of knowledge rather than depth. Having
said that, to those of you who have not been subjected to the most rigorous econometrics
courses in your undergraduate studies, this book will be very useful.

Book | Background | Newer ed. of above
Applied macroeconometrics - Carlo A. Favero, 2000
Book | Background | This book by Favero provides an excellent link between
econometrics and macroeconomics,
however, it has far more focus on macroeconomics than I would like. Again, the intuition
behind the maths is explained very well.
Time series techniques for economists - Terence C. Mills, 1990
Book | Background | This book by Terry Mills is an excellent book, particularly on
univariate 3 time series analysis.
Econometric analysis - William H. Greene, 2012
Book | Background | Print also available in the library.
Time series analysis - James D. Hamilton, 1994
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| Background | This is a classic postgraduate textbook on time series theory. It is a

great reference book, I still use it all the time. However, a lot of the material in the book
goes way beyond the scope of this module.
Book
Module contents and references (69 items)
Here is what I intend to cover in this module, and I hereby provide a detailed reference list
for
each topic which you will find useful. Please note that the lists are by no means
exhaustive.
1. Modelling Univariate Time Series (6 items)

Book | Essential | Chapter 2 and sections 1.6 to 1.9.
Book | Essential | Chapters 1 and 2 (up to section 2.6).

Book | Essential | Chapter 20
Other useful references include:

Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers'
Expenditure and Income in the United Kingdom - James E. H. Davidson, David F. Hendry,
Frank Srba and Stephen Yeo, 1978
Article | Background
Three econometric methodologies: a critical appraisal. - Pagan, Adrian, 1987
2. Unit Root Testing & Modelling Nonstationary Time Series (15 items)
Topics include deterministic and stochastic time trends, trend removal and tests for unit
roots and for stationarity. We will also discuss how to gauge the power of these tests, and
what have been done to correct the test when a unit root test is found to be unreliable or
not powerful enough for certain cases.
Book | Essential | Chapter 4.
Book | Chapters 1 and 2 (up to section 2.6).

Estimation and inference in econometrics - Russell Davidson, James G. MacKinnon, 1993
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Book
| Background | Sections 20.1 - 20.7
Unit roots, cointegration, and structural change - G. S. Maddala, In-Moo Kim, 1998
Book | Background | Chapters 1 - 4.
Important references (6 items)

Are Output Fluctuations Transitory? - Campbell, John Y.
Article | Essential
Spurious regressions in econometrics - C.W.J. Granger, P. Newbold, 1974-7
Article | Essential
Testing the null hypothesis of stationarity against the alternative of a unit root - Denis
Kwiatkowski, Peter C.B. Phillips, Peter Schmidt, Yongcheol Shin, 1992-10
Article | Essential
Spurious Periodicity in Inappropriately Detrended Time Series - Charles R. Nelson and
Heejoon Kang, 1981
Article | Essential
Trends and random walks in macroeconomic time series: A reappraisal - Amlie Charles,
Olivier Darn, 2012-3
Article | Essential
Testing for a Unit Root in Time Series Regression - Peter C. B. Phillips and Pierre Perron,
1988
Article | Essential
Useful references (4 items)

Co-integration, error correction and the econometric analysis of non-stationary data Anindya Banerjee, 1993
Book | Background
A new approach to decomposition of economic time series into permanent and transitory
components with particular attention to measurement of the business cycle - Stephen
Beveridge, Charles R. Nelson, 1981-1
Non-stationarity and cointegration - K. Cuthbertson, S.G. Hall, M.P. Taylor
Chapter | Background | Chapter 5 of the book.
Some properties of time series data and their use in econometric model specification C.W.J. Granger, 1981-5
3. Vector Autoregression (VAR) (11 items)
Topics include VAR analysis, model selection, hypothesis testing, impulse response
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functions and variance decomposition.

Book | Essential | Chapters 3 and 6.

The Dynamic Effects of Aggregate Demand and Supply Disturbances - Olivier Jean
Blanchard and Danny Quah, 1989
Article | Essential
Cross-Country Variation in the Liquidity Effect: The Role of Financial Markets - William D.
Lastrapes and W. Douglas McMillin, 2004
Article | Essential
Structural Models of the Liquidity Effect - A. R. Pagan and J. C. Robertson, 1998
Article | Essential
Macroeconomics and Reality - Christopher A. Sims, 1980
Article | Essential

Monetary policy shocks: What have we learned and to what end? - L.J. Christiano, M.
Eichenbaum, C.L. Evans
Permanent and Transitory Components of GNP and Stock Prices - John H. Cochrane, 1994
What do the VARs mean? Measuring the output effects of monetary policy - John H.
Cochrane, 1998-2
Identifying monetary policy in a small open economy under flexible exchange rates - David
O. Cushman, Tao Zha, 1997-8
Monetary Policy Analysis and Inflation Targeting in a Small Open Economy: A VAR
Approach - Tor Jacobson, Per Jansson, Anders Vredin and Anders Warne, 2001
4. Vector Error Correction Models (VECM) (28 items)
This section introduces the concept of cointegration, and discusses why cointegration may
be
observed amongst macroeconomic time series. Other concepts include error correction
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models,
testing for cointegration, single-equation tests and multivariate tests, and tests of
cointegrating
space.
Book | Essential | Chapter 6
Book | Background | Sections 20.8 and 20.9.
Book | Background | Chapters 5 to 7.

Co-Integration and Error Correction: Representation, Estimation, and Testing - Robert F.
Engle and C. W. J. Granger, 1987
Article | Essential
Long-run economic relations: readings in cointegration - R. F. Engle, C. W. J. Granger, 1991
Book | Background
A Long Run Structural Macroeconometric Model of the UK - Anthony Garratt, Kevin Lee, M.
Hashem Pesaran and Yongcheol Shin, 2003
Article | Essential
The Demand for Money in the United States: Evidence from Cointegration Tests - R. W.
Hafer and Dennis W. Jansen, 1991
Article | Essential
Stochastic Trends and Economic Fluctuations - Robert G. King, Charles I. Plosser, James H.
Stock and Mark W. Watson, 1991
Article | Essential
Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on
Consumption - Martin Lettau and Sydney C. Ludvigson, 2004
Article | Essential

Common Stochastic Trends in a System of Exchange Rates - Richard T. Baillie and Tim
Bollerslev, 1989
Cointegration and Tests of Present Value Models - John Y. Campbell and Robert J. Shiller,
1987
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Yield Spreads and Interest Rate Movements: A Bird's Eye View - John Y. Campbell and
Robert J. Shiller, 1991
Current Real-Business-Cycle Theories and Aggregate Labor-Market Fluctuations - Lawrence
J. Christiano and Martin Eichenbaum, 1992
Output Dynamics in Real-Business-Cycle Models - Timothy Cogley and James M. Nason,
1995
The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher
Equation Revisited - William J. Crowder and Dennis L. Hoffman, 1996
Identification, Long-Run Relations, and Fundamental Innovations in a Simple Cointegrated
System - William J. Crowder, Dennis L. Hoffman and Robert H. Rasche, 1999
Likelihood-based inference in cointegrated vector autoregressive models - Sren Johansen,
1995
Book | Background
Money, Credit, and Prices in a Real Business Cycle - Robert G. King and Charles I. Plosser,
1984
Time to Build and Aggregate Fluctuations - Finn E. Kydland and Edward C. Prescott, 1982
Time to Build and Aggregate Fluctuations - Finn E. Kydland and Edward C. Prescott, 1982
Real Business Cycles - John B. Long, Jr. and Charles I. Plosser, 1983
Econometric policy evaluation: A critique - R. E. Lucas
Document | Background
Real Business Cycles: A New Keynesian Perspective - N. Gregory Mankiw, 1989
Structural analysis of vector error correction models with exogenous I(1) variables M.Hashem Pesaran, Yongcheol Shin, Richard J. Smith, 2000-8
Understanding Real Business Cycles - Charles I. Plosser, 1989
Variable Trends in Economic Time Series - James H. Stock and Mark W. Watson, 1988
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Vector autoregressions and cointegration - M. W. Watson

5. Structural Models (Time permitting) (9 items)
This section discusses potential problems with VAR and VECM, and introduces structural
models that attempt to rectify these problems. Topics include structural VAR, structural
VECM, identification of a VAR and structural errors, orthogonal impulse response function.
Book | Background | Sections 20.8 and 20.9.
Book | Background | Chapters 5 to 7.

The Dynamic Effects of Aggregate Demand and Supply Disturbances - Olivier Jean
Blanchard and Danny Quah, 1989
Forecast Uncertainties in Macroeconomic Modeling: An Application to the U.K. Economy Anthony Garratt, Kevin Lee, M. Hashem Pesaran and Yongcheol Shin, 2003
Postwar U.S. Business Cycles: An Empirical Investigation - Robert J. Hodrick and Edward C.
Prescott, 1997
Structural analysis of vector error correction models with exogenous I(1) variables M.Hashem Pesaran, Yongcheol Shin, Richard J. Smith, 2000-8
Stochastic Trends and Economic Fluctuations - Robert G. King, Charles I. Plosser, James H.
Stock and Mark W. Watson, 1991
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06/29/15

EC7059 Applied Macroeconometrics | readinglists@leicester

EC7059 Applied Macroeconometrics

Reading list (6 items)

Applied econometric time series - Walter Enders, 2015

EC7059 Applied Macroeconometrics | readinglists@leicester

| Background | This is a classic postgraduate textbook on time series theory. It is a

Module contents and references (69 items)

1. Modelling Univariate Time Series (6 items)

Other useful references include:

EC7059 Applied Macroeconometrics | readinglists@leicester

| Background | Sections 20.1 - 20.7

Important references (6 items)

Useful references (4 items)

3. Vector Autoregression (VAR) (11 items)

EC7059 Applied Macroeconometrics | readinglists@leicester

functions and variance decomposition.

Important references (4 items)

Useful references (5 items)

4. Vector Error Correction Models (VECM) (28 items)

EC7059 Applied Macroeconometrics | readinglists@leicester

Important references (6 items)

Useful references (18 items)

EC7059 Applied Macroeconometrics | readinglists@leicester

EC7059 Applied Macroeconometrics | readinglists@leicester

Vector autoregressions and cointegration - M. W. Watson

5. Structural Models (Time permitting) (9 items)

Useful references (5 items)

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