担当教員一覧
詳細情報
授業の目的／Course Objective The goal of this class is to have knowledge of elementary econometrics in graduate level. After taking this class, students can study more advanced econometrics for themselves.
履修条件・受講条件／Requirement / Prerequisite This class is based on Statistics and Econometrics, which are provided by Department of Economics, and Econometrics I, provided by Graduate School of Economics.
講義内容／Course Content To achieve the above goal, the following contents are lectured. We aim to learn basic concepts of econometrics and apply them.
1. Simple Regression (Review of Econometrics for undergraduate
2. Multiple Regression using Matrix
3. Review of Matrix
4. Multiple Regression
5. Restricted OLS
6. F Distribution (Restricted and Unrestricted OLS)
7. Generalized OLS (GLS)
8. MLE
9. Asymptotic Theory
10. Consistency and Asymptotic Normality of OLS
11. Instrumental Variable
12. Large Sample Test
13. Heteroscedasticity
14. Auto-correlation
15. Specification Error
16. Multi-collinearity
17. Time Series Analysis
18. Unit Root and Co-integration
19. GMM (Generalized Method of Moments)
We proceed the above contents in order. However, they are planned for now. We change the contents of the class by progress.
教科書／Textbooks The handouts are distributed.
参考文献／Reference W.H. Greene (2012), Econometric Analysis (7th ed.)
J.D. Hamilton (1994), Time Series Analysis
成績評価／Grading Policy The grade is based on the final exam and some homework.
コメント／Other Remarks If you are absent from the class, you will not be able to understand at all.
Applied Computational Economics and Finance
Mario J. Miranda & Paul L. Fackler
The Ohio State University & North Carolina State University
MIT Press, 2002
［１］Abe, K., 1992. Tariff reform in a small open economy with public production. International Economic Review 33, 209-222.
［２］Acemoglu, D., Ventura, J., 2002. The world income distribution. Quarterly Journal of Economics 117, 659-694.
［３］Bhagwati, J. N., Brecher, R. A., Hatta, T., 1983. The generalized theory of transfers and welfare: bilateral transfers in a multilateral world. American Economic Review 73, 606-618.
［４］Brander, J., Krugman, P., 1983. A‘reciprocal dumping’model of international trade. Journal of International Economics 15, 313-321.
［５］Brander, J. A., Spencer, B. J., 1985. Export subsidies and international market share rivalry. Journal of International Economics 18, 83-100.
［６］Dornbusch, R., Fischer, S., Samuelson, P. A., 1977. Comparative advantage, trade, and payments in a Ricardian model with a continuum of goods. American Economic Review 67, 823-839.
［７］Jones, R. W., 1965. The structure of simple general equilibrium models. Journal of Political Economy 73, 557-572.
［８］Krugman, P., 1980. Scale economies, product differentiation, and the pattern of trade. American Economic Review 70, 950-959.
［９］Melitz, M. J., 2003. The impact of trade on intra-industry reallocations and aggregate industry productivity. Econometrica 71, 1695-1725.
［10］Mussa, M., 1974. Tariffs and the distribution of income: the importance of factor specificity, substitutability, and intensity in the short and long run. Journal of Political Economy 82, 1191-1203.
また、演習開始時点までに以下の教科書程度の知識を身につけておくべきである：
中西訓嗣、広瀬憲三、井川一宏（編）、2003.『国際経済理論』。有斐閣、東京。
Feenstra, R. C., 2004. Advanced International Trade: Theory and Evidence. Princeton UniversityPress,Princeton,NJ. Wong, K.-y., 1995. International Trade in Goods and Factor Mobility. MIT Press, Cambridge, MA.
Markusen, J. R., et al., 1995. International Trade: Theory and Evidence. McGraw-Hill, New York.
Feenstra, R. C., 2004. Advanced International Trade: Theory and Evidence. Princeton University Press, Princeton, NJ.
参考文献 Wong, K.-y., 1995. International Trade in Goods and Factor Mobility. MIT Press, Cambridge, MA.
教科書 Feenstra, R. C., Taylor, A. M., 2008. International Economics. Worth Publishers, New York.
参考文献 Markusen, J. R., et al., 1995. International Trade: Theory and Evidence. McGraw-Hill, New York.
Ⅱ 主体均衡の数量分析
２-１ Euler equationの検証（１）
２-２ Euler equationの検証（２）
２-３ Value functionの数値計算（１）
２-４ Value functionの数値計算（２）
Ⅲ 一般均衡の数量分析
３-１DSGEモデル（１）：基本的概念
３-１DSGEモデル（２）：Calibration form
３-２DSGEモデル（３）：Bayesian estimation form
３-３DSGEモデル（４）：DSGE-VAR
■成績評価と基準
① レポート
② 期末試験
■履修上の注意（関連科目情報等を含む）
上級計量経済学・上級マクロ経済学を履修していることが望ましい。
■学生へのメッセージ
講義で学んだ内容を、自分自身で積極的に実践していくことが望まれる。
■教科書
Structural Macroeconometrics / D. N. DeJong and C. Dave : Princeton University press. ,2007 ,ISBN:
■参考書・参考資料等
Recursive Macroeconomics Theory, Second edition / L. Ljunggvist and T. J. Sargent : MIT press ,2004 ,ISBN:
消費者行動と日本の資産市場 / 羽森茂之 : 東洋経済新報社 ,1996 ,ISBN:
対外不均衡とマクロ経済：理論と実証 / 松林洋一 : 東洋経済新報社 ,2010 ,ISBN:
■授業における使用言語
This is an advanced undergraduate level course on macroeconomics. The course is aimed at (i) understanding basic notions of the macroeconomics, (ii) being equipped with the basic analytical tools (models) for policy analysis both in the closed economy and the open economies, and (iii) being able to consider the real-world problem, such as the recent financial crisis, through the lens of these tools.
Central issues considered in the course include (i) capital flows, (ii) international transmission of shocks, and (iii) the role of stabilization policy.
Students are expected to be familiar with intermediate macroeconomic theory and with undergraduate mathematical economics.
On successful completion of this course, students will be able to understand (i) the analytics behind key macroeconomic models, (ii) how policy can affect these outcomes and (ii) the real-world problem through macroeconomic thinking.
テキスト（教科書）
Schmitt-Grohe, Stephanie and Martin Uribe, 2011, International Macroeconomics;
- downloadable for free at ttp://www.columbia.edu/~mu2166/UIM/notes.pdf.
Corsetti, Giancarlo and Paolo Pesenti, 2009, “The Simple Geometry of Transmission and Stabilization in Closed and Open Economies, in NBER International Seminar on Macroeconomics 2007;
- downloadable for free at ttp://www.nber.org/chapters/c3000.pdf.
参考書
Barro, Robert, and Xavier, Sala-I-Martin, 1995, Economic Growth, McGrow Hill.
Cochrane, John, 2001, Asset Pricing, Princeton University Press.
Enders, Walter, 1995, Applied Econometric Time Series, Wiley.
Jones, Charles, Introduction to Economic Growth, Norton.
Obstfeld, Maurice and Kenneth Rogoff, Foundations of International Macroeconomics, MIT Press, 1996.
Romer, David, 2006, Advanced Macroeconomics, McGrawHill.
Walsh, Carl, 2003, Monetary Theory and Policy, MIT Press.
授業科目の内容
In the first part of the course, we learn the basic dynamic stochastic general equilibrium (DSGE) models under the complete market, or with the representative agent, in other words. We will learn how to derive the model as well as how to obtain the solutions of the rational expectations equilibrium.
We then further discuss both positive and normative analyses using the DSGE models: how the basic model has been developed in order to better explain the data; how such models are used for the optimal policy analysis.
In the second part, we depart from the representative agent assumption and the complete market model and investigate models with heterogeneous agents in incomplete markets. We will learn the skills to solve workhorse models in quantitative macroeconomics with incomplete markets and discuss various topics and papers that use micro-founded dynamic models with heterogeneous agents.
We will study selected papers carefully and in depth, reviewing the model, equilibrium definition and conditions, calibration and computational methods in each of the papers. There will be computational assignments based on the papers we read. We will also read more papers at a faster pace from various topics, based on the interest of the students, that are broad extensions of a Bewley model, such as inequality in income and wealth, life-cycle pattern of consumption, saving and labor supply, fiscal policy and optimal taxation, health and medical expenditures, aging demographics, retirement and social security.
テキスト（教科書）
特に指定しない。
参考書
- Adda, Jerome, and Russell Cooper, Dynamic Economics, MIT Press, 2003.
- Cooley, Thomas, Frontiers in Business Cycle Research, Princeton University Press, 1996.
- Gali, Jordi, Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework, Princeton University Press, 2008.
- Herr, Burkhard, and Alfred Mausner, Dynamic General Equilibrium Modeling: Computational Methods and Applications, Springer, 2009.
- Judd, Kenneth, Numerical Methods in Economics, MIT Press, 1998.
- Ljungqvist, Lars, and Thomas J. Sargent, Recursive Macroeconomic Theory, 3rd edition, MIT Press, 2012.
- Marimon, Ramon, and Andrew Scott, Computational Methods for the Study of Dynamic Economics, Oxford University Press, 1998.
- Pissarides, Christopher, Equilibrium Unemployment, MIT Press, 2000.
- Stachurski, John, Economic Dynamics: Theory and Computation, MIT Press, 2009.
- Stokey, Nancy, Robert Lucas and Edward Prescott, Recursive Methods in Economic Dynamics, Harvard University Press, 1989.
- Walsh, Carl, Monetary Theory and Policy, 3rd edition, MIT Press, 2010.
- Woodford, Michael, Interest and Prices: Foundations of a Theory of Monetary Policy, Princeton University Press, 2003.
