Practica

Worked MATLAB exercises accompanying the macroeconometrics lectures.

The practica follow an empirical calculation from its input data to the reported estimate. Each one includes commands to run, checks on the intermediate objects, and worked explanations of the results. The lecture notes develop the econometric argument; the practicum shows where that argument enters the code.

Local projections

Fiscal multipliers accompanies Session 06. It uses the session’s MATLAB replication to inspect quarterly samples, reconstruct the cumulative IV regression, and calculate a difference between the state-dependent responses. The worked answers are included throughout.

Lecture notes (PDF) · Exercise solutions (PDF) · Replication package

The remaining practica

Session	Calculation
01 · Reduced-form VARs	Build the lag matrix, compare lag orders on a common sample, and forecast recursively.
02 · Structural identification	Recover impact matrices under short-run and long-run restrictions and check their normalization.
03 · Impulse responses and decompositions	Trace a shock, form bootstrap intervals, and reconstruct a historical path.
04 · Sign restrictions	Retain admissible rotations and examine what a narrative restriction changes.
05 · External instruments	Align an instrument with VAR residuals and identify the policy response from covariance ratios.
07 · Nonlinear models	Estimate smooth-state dynamics and examine responses to financial shocks of different sizes.
08 · Quantile SVARs	Estimate conditional growth quantiles and verify the quantile-regression optimum.
09 · FAVARs	Transform a macroeconomic panel, extract factors, and map a credit shock back to observed series.
10 · Dynamic factor models	Separate static factors from dynamic shocks and work through a missing-observation filtering example.

Each practicum links to its lecture, PDF companions, and replication package. The code uses the same shared functions throughout, so a change in notation does not conceal a change in the underlying estimator.