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ECOM-411 Applied Macroeconometrics 1, 5 cr 
Code ECOM-411  Validity 01.01.2017 -
Name Applied Macroeconometrics 1  Abbreviation Applied Macroec 
Scope5 cr   
TypeAdvanced studies
  GradingGeneral scale 
    Can be taken more than onceno
Unit Master's Programme in Economics 

Markku Lanne 

Target group 

Master’s Programme in Economics. Open to other students as well.


First spring term, at least every other year in the fourth period

Learning outcomes 

After the course, the student should

  • Be familiar with the main approaches to modelling macroeconomic data 
  • Know the basic properties of the linear vector autoregressive (VAR) model 
  • Know the basic properties of the linear vector autoregressive (VAR) model 
  • Understand the concept of the identification of economic shocks in structural VAR models, and be able to conduct structural analysis using short-run and long-run identification restrictions as well as methods of statistical identification in the VAR model
  • Be able to apply methods of classical statistical inference in reduced-form and structural VAR models
  • Be able to report empirical research results obtained using the methods covered
Completion methods 

The course consists of lectures (24 hours) and exercises either in separate sessions or integrated into the lectures. The lectures (and exercise sessions) are not mandatory.

There is a written final exam, a number of the homework assignments, and an empirical term paper. The homework assignments consist of analytical and empirical exercises. The former familiarise the student with the theory and calculations typically required in the practical implementation of the methods, while the latter teach skills of undertaking an empirical research project, including data handling, programming and interpreting results.


The course builds upon the contents of Econometrics 1 or Advanced Econometrics 1 and 2, and Advanced Econometrics 3. Hence, familiarity with statistical inference and matrices is assumed; knowledge of time series econometrics is useful.

Recommended optional studies 

Knowledge of R is useful because it is used throughout. However, the basics needed for the practical implementation of the methods can be acquired during the course.


The course provides an introduction to the methods of modern applied macroeconometrics. The different approaches currently employed in applied work are reviewed, including the basics of empirical dynamic stochastic general equilibrium (DSGE) models, but the main emphasis is on the vector autoregressive model and its application in economics. In particular, we concentrate on the identification of economic shocks by various methods and the use of the structural vector autoregressive framework in policy analysis. Applications in other fields besides macroeconomics may also be discussed. The emphasis is on the practical application of the methods.

Study materials and literature 

In addition to the lecture slides, the reference manuals of the R packages covered in the course as well as selected parts of the following textbooks can be useful:

  • Bjørnland, H.C. & L.A. Thorsrud (2015). Applied Time Series for Macroeconomics. Gyldendal Norsk Forlag AS, 2nd edition (1st edition can be used as well) 
  • Favero, C.A. (2001). Applied Macroeconometrics. Oxford University Press 
  • Hamilton, J. (1994). Time Series Analysis. Princeton University Press 
  • Kilian, L., and H. Lütkepohl (2017). Structural Vector Autoregressive Analysis. Cambridge University Press
  • Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer

In addition, a number of journal articles assigned by the lecturer are included in the required literature.

Activities and teaching methods in support of learning 

All material related to the course is delivered through the Moodle area of the course, which also contains a discussion forum where students can discuss issues related to the course with each other and the teacher. Homework assignments and the term paper are submitted through the Moodle area of the course.

Assessment practices and criteria 

The grade on a scale from 0 (fail) to 5 is the weighted average of the grades of the final exam (50%), the homework assignments (25%), and the term paper (25%). Each of the three components is graded on a scale from 0 (fail) to 5, and each must be passed separately.


Current and future instruction
Functions Name Type cr Teacher Schedule
Registration Applied Macroeconometrics 1  Lecture Course  Markku Lanne  17.03.21 -03.06.21

Future examinations
No examinations in WebOodi