Time Series Models for Macroeconometric Analysis

BSE coursework · Tyler Sotomayor

These are my notes from Time Series Models for Macroeconometric Analysis, a course I took at the Barcelona School of Economics in 2024. I am revisiting the course through annotated MATLAB replications, with lecture notes and worked practica.

Local projections

Session 06: Local Projections and Fiscal Multipliers examines the response of output and government purchases to fiscal news using Ramey and Zubairy’s data. The lecture develops the local-projection regressions and their interpretation. The practicum follows the estimation in MATLAB and provides fully worked exercises.

The main run preserves a missing initial news observation and corrects the classroom IV standard-error calculation. The notes explain both changes.

Course materials

The lectures follow the course topics; the practica accompany them with code and worked problems. Local projections is currently available. I will add the remaining sessions as I finish their replications.

These notes draw on Luca Gambetti’s theory materials and Konstantin Boss’s practical sessions. They are not an official BSE publication. References identify the papers and data used in each application, and the repository records changes to the classroom calculations.