Methods of Applied Macroeconomic Research

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1、ContentsChapter1:Preliminaries11.1StochasticProcesses.............................21.2ConceptsofConvergence..........................31.2.1Almostsure(a.s.)convergence..................31.2.2ConvergenceinProbability.....................41.2.3ConvergenceinL

2、q-norm.......................61.2.4ConvergenceinDistribution....................71.3TimeSeriesConcepts.............................81.4LawofLargeNumbers............................141.4.1DependentandIdenticallyDistributedObservations.....141.4.2Dependenta

3、ndHeterogeneouslyDistributedObservations.151.4.3MartingaleDifferenceProcess...................161.5CentralLimitTheorems...........................171.5.1DependentandIdenticallyDistributedObservations.....171.5.2DependentHeterogeneouslyDistributedObservatio

4、ns....181.5.3MartingaleDifferenceObservations................181.6ElementsofSpectralAnalysis.......................19Chapter2:DSGEModels,SolutionsandApproximations272.1Fewusefulmodels...............................282.1.1AbasicRealBusinessCycle(RBC)Model..

5、.........282.1.2Heterogeneousagentmodels....................352.1.3MonetaryModels...........................382.2Approximationmethods...........................442.2.1Quadraticapproximations......................452.2.2Discretization......................

6、........482.2.3LoglinearApproximations.....................512.2.4Secondorderapproximations......................602.2.5Parametrizingexpectations.....................622.2.6AComparisonofmethods.....................65iiiChapter3:ExtractingandMeasuringCycli

7、calInformation673.1StatisticalDecompositions.........................693.1.1Traditionalmethods.........................693.1.2Beveridge-Nelson(BN)decomposition..............693.1.3UnobservableComponents(UC)decompositions.......723.1.4Regimeshiftingdecompo

8、sition...................753.2HybridDecompositions...........................793.2.1TheHodrickandPrescott(HP)Filter..............793.2.2Exponentialsmoothing(ES)filter.................863.2.3Movingaverage(MA)filters...