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Macro / Time Series

Below are some short notes on topics in Macro and Time Series analysis. Please see also some of my lecture notes for Matlab for state space tools and simple DSGE models.
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Durbin/Koopmans Disturbance Smoother  159k v. 3 Aug 30, 2013, 4:48 PM Elmar Mertens
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Solving Linear Rational Expectation Models using Klein (2000) and Sims (2002)  62k v. 3 Aug 27, 2016, 12:30 PM Elmar Mertens
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Long-Run restrictions in a VECM  151k v. 7 Feb 6, 2012, 1:51 PM Elmar Mertens
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