This short script (April 01, 7 pages) presents an optimization exercise faced by an agent who allocates her savings between investment in a portfolio and consumption. There are two assets, riskless and risky. The model uses discrete time
Scripts
VAR and SVAR I: Some Equations
This script (January 01, 10 pages) reviews some basic equations concerning VAR and SVAR, its identification, its dynamics the impulse-response functions and variance decomposition. The following VAR(1) is used as illustration
Script
VAR and SVAR II: Some Equations
This script (January 01, 3 pages) reviews some basic equations concerning VAR impulse-response functions. The following VAR(2) is used as illustration
Scripts
VAR and SVAR III: Some Equations
This script (January 01, 3 pages) reviews some basic equations concerning VAR estimation and impulse-response functions with constant and time trend. The following VAR(2) is used as illustration
Scripts
Dynamic Programming
This short script (January 01, 14 pages) reviews the basic optimal growth model solutions with and without dynamic programming in discrete time for nonstochastic and stochastic cases. We use the same simple textbook model for all cases in order to allow for comparisons
Scripts
Introduction to Statistics and Linear Regression: An Outline
This script (Fall 00, 21 pages) reviews basic concepts in statistics and econometrics. Further explanations and proofs can be found in the reference given at the end of this text. This refresher is complemented by a numerical example (Fall 98, 11 pages) in monetary economics in a separate manuscript. This script serves as an introduction for Central Bankers Courses
Scripts
Examples
International Parities
This short script (Fall 00, 5 pages) reviews basic calculation of international parities. Focus on differences between exact parities and approximations. There are no empirical examples
Scripts
Rational Expectations Models
This short script (Spring 99, 13 pages) presents a few rational expectations models and their solutions. All in discrete time