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I have a background in Finance and have become pretty interested in Macroeconomics as a graduate student. However the time is limited and I want to focus on econometrics part of Macroeconomics. In that case, could someone please give me tell me what are the main econometrics methods I should learn in Macroeconomics？In Finance we focus on models like ARMA and GARCH, how about Macroeconomics? I've learned VAR before. I also heard about the simultaneous equations, are those for Macro? What are methods that econometricians came up to handle Lucas's Critique? What might be a good book to learn Macro econometrics?

Thanks in advance!

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    $\begingroup$ I would suggest to focus on less topics(questions). It would help to increase the quality of the answers. Nice question overall. ;) $\endgroup$
    – An old man in the sea.
    Jan 25, 2016 at 10:33

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There are many different econometric methods used in macroeconometrics, but the basic ones are advanced versions of least squares methods and Generalized Method of Moments (GMM). Structural VARs, ARCH/GARCH models and several others are widely used as well.

Since you're already familiar with econometric methods, you might try glancing through Fair's "Macroeconometric Modeling" (http://fairmodel.econ.yale.edu/mmm2/mm.pdf). You don't necessarily have to read it completely, but I found it a really useful document in understanding how to build and use macroeconometric models.

Based on your background and interest, I'd recommend Favero's "Applied Macroeconometrics" and De Jong's and Chetan's "Structural Macroeconometrics" as general books on the subject.

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