ECON 224A
TIME SERIES ECONOMETRICS
Winter 2007

Professor: Fabio Milani, fmilani@uci.edu
Office Hours: SSPA 3145, Thursday 15.00-16.30

Time and Location: SSPB 3266, Tu-Th 11.00-12.30.
Course Webpage: http://eee.uci.edu/07w/62641/

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COURSE MATERIAL

 Syllabus

Date	Presenter	Paper or Topic
1/23	1) Jibonayan Raychaudhuri 2) Shivraj Singh	1) C. Nelson, and C. Plosser. “Trends and Random Walks in Macroeconomic Time Series." Journal of Monetary Economics 10 (1982): 139-162. 2) Sims, C.A. & H. Uhlig, 1991. "Understanding Unit Rooters: A Helicopter Tour", Econometrica, vol. 59(6), pages 1591-99, November.
1/30	Gabriela Best	Sims, C.A. (1980), "Macroeconomics and Reality," Econometrica, 48, 1-48.

 REFEREE REPORT

RIE hints for referees, CJE's advice

Write a referee report on one of the following papers:

1) Todd Sandler and Walter Enders, The Effectiveness of Anti-Terrorism Policies: A VAR-Intervention Analysis, American Political Science Review, December 1993.
2) Justiniano and Primiceri, The Time Varying Volatility of Macroeconomic Fluctuations, NBER WP No. 12022.
3) Fernandez-Villaverde and Rubio-Ramirez Estimating Macroeconomic Models: A Likelihood Approach, forthcoming RES.
4) Olivei and Tenreyro, The Timing of Monetary Policy Shocks, forthcoming AER.
5) Mountford and Uhlig, What are the Effects of Fiscal Policy Shocks?.
6) Cushman and Zha, Identifying Monetary Policy in a Small Open Economy under Flexible Exchange Rates, JME 1997.
7) Christiano, Eichenmbaum, and Vigfusson, What Happens After a Technology Shock?
8) Cogley and Sargent, Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S RED, 2005.
9) Bernanke, Boivin, and Eliasz, Measuring Monetary Policy: A Factor Augmented Vector Autoregressive (FAVAR) Approach, QJE 2005.
10) Blomberg, Hess and Orphanides The macroeconomic consequences of terrorism, JME 2004.
11) Bernanke, Gertler, and Watson. 1997. "Systematic Monetary Policy and the Effects of Oil Price Shocks." Brookings Papers on Economic Activity
12) Faust & Rogers & Swanson & Wright, 2003. "Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data," Journal of the European Economic Association
13) Brandt and Freeman, Testing Democratic Peace Theory: A New Approach with Application to The Israeli-Palestinian Conflict
14) Ritschl and Woitek, Did Monetary Forces Cause the Great Depression? A Bayesian VAR Analysis for the U.S. Economy
15) Scotti, A Bivariate Model of Fed and ECB Main Policy Rates









 Useful Links: Department of Economics