Macroeconometrics

We discuss the local level model. First, we use simulated time series to apply the Kalman Filter. Then, we discuss the properties of the Maximum Likelihood Estimator (MLE) in a small Monte Carlo simulation exercise in estimating the signa-to-noise ratio. Within this framework, we will also analyze the pile-up problem of the MLE results.

In this project, I had to develop a model to forecast exports of a Swiss industry. The project included also the presentation of the results, followed by frequent quarterly forecasting and constant assessment of the model.