Course modules

Information About the Course

Information About the Course Information About the Course

Page

Information About the Course Information About the Course 1

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Page

Schedule Schedule 2

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Page

Deadlines for Assignment and Peer Feedback Deadlines for Assignment and Peer Feedback 3

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The Exam

The Exam The Exam

Attachment

Info About the Exam - Fall 2017.pdf Info About the Exam - Fall 2017.pdf 1

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Attachment

Assessment Criteria.pdf Assessment Criteria.pdf 2

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Attachment

Tips for Writing.pdf Tips for Writing.pdf 3

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Attachment

Tips for Writing (Annotated).pdf Tips for Writing (Annotated).pdf 4

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Topic 1: Linear Regression with Stationary Time Series

Topic 1: Linear Regression with Stationary Time Series Topic 1: Linear Regression with Stationary Time Series

Context Module Subheader

Overview 1

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Page

Overview: Topic 1 Overview: Topic 1 2

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Context Module Subheader

Assignment 3

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Assignment

Assignment 1: Interest Rate Pass-Through Assignment 1: Interest Rate Pass-Through 4

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Attachment

General Feedback on Assignment 1.pdf General Feedback on Assignment 1.pdf 5

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Attachment

General Feedback on Assignment 1 (Annotated).pdf General Feedback on Assignment 1 (Annotated).pdf 6

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Discussion topic

Questions for Assignment 1 Questions for Assignment 1 7

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Attachment

Assessment Criteria.pdf Assessment Criteria.pdf 8

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Attachment

Tips for Writing.pdf Tips for Writing.pdf 9

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Attachment

Peer Feedback - Why and How.pdf Peer Feedback - Why and How.pdf 10

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Context Module Subheader

Exercises 11

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Page

Problem Set #1: Time Series and Linear Regression Problem Set #1: Time Series and Linear Regression 12

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Page

How to install OxMetrics How to install OxMetrics 13

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Page

Tutorial for Exercise #1.1 Tutorial for Exercise #1.1 14

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Page

Video: Loading, Transforming and Plotting Data in OxMetrics Video: Loading, Transforming and Plotting Data in OxMetrics 15

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Page

Video: Estimating a Linear Regression Model for Stationary Time Series in OxMetrics Video: Estimating a Linear Regression Model for Stationary Time Series in OxMetrics 16

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Context Module Subheader

Resources 17

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Context Module Subheader

Time Series and Stationarity 18

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Page

Video and Review Quiz 1-01: Time Series and Stationarity Video and Review Quiz 1-01: Time Series and Stationarity 19

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Context Module Subheader

The Linear Regression Model and the Method of Moments Estimator 21

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Page

Tutorial, Video, and Review Quiz 1-02: The Linear Regression Model and the Method of Moments Estimator Tutorial, Video, and Review Quiz 1-02: The Linear Regression Model and the Method of Moments Estimator 22

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Page

Video and Review Quiz 1-03: Properties of the Method of Moments Estimator Video and Review Quiz 1-03: Properties of the Method of Moments Estimator 23

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Context Module Subheader

Misspecification Testing 24

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Page

Review Quiz 1-04: Model Specification and Misspecification Testing Review Quiz 1-04: Model Specification and Misspecification Testing 25

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Page

Review Quiz 1-05: Misspecification Testing Review Quiz 1-05: Misspecification Testing 26

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Context Module Subheader

Questions 27

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Discussion topic

Questions for Topic 1 Questions for Topic 1 28

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Topic 2: Dynamic Models

Topic 2: Dynamic Models Topic 2: Dynamic Models

Context Module Subheader

Assignment 3

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Assignment

Assignment 2: Forecasting the US Dollars/British Pound Foreign Exchange Rate Assignment 2: Forecasting the US Dollars/British Pound Foreign Exchange Rate 4

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Discussion topic

Questions for Assignment 2 Questions for Assignment 2 5

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Attachment

Assessment Criteria.pdf Assessment Criteria.pdf 6

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Attachment

Tips for Writing.pdf Tips for Writing.pdf 7

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Attachment

Peer Feedback - Why and How.pdf Peer Feedback - Why and How.pdf 8

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Attachment

General Feedback on Assignment 2.pdf General Feedback on Assignment 2.pdf 9

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Attachment

General Feedback on Assignment 2 (Annotated).pdf General Feedback on Assignment 2 (Annotated).pdf 10

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Context Module Subheader

Exercises 11

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Page

Problem Set #2: Univariate Time Series Models Problem Set #2: Univariate Time Series Models 12

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Page

Tutorial for Exercise #2.4 Tutorial for Exercise #2.4 13

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Page

Video: Estimation of Univariate Autoregressive (AR) Models in OxMetrics Video: Estimation of Univariate Autoregressive (AR) Models in OxMetrics 14

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Page

Video: Estimation of ARMA Models in OxMetrics Video: Estimation of ARMA Models in OxMetrics 15

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Page

Video: Forecasting Based on Univariate Autoregressive Models in OxMetrics Video: Forecasting Based on Univariate Autoregressive Models in OxMetrics 16

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Video: How to Get Forecasts When Including Dummy Variables in Autoregressive Models in OxMetrics Video: How to Get Forecasts When Including Dummy Variables in Autoregressive Models in OxMetrics 17

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Exercise: Stationarity of AR(2) Processes (Optional) Exercise: Stationarity of AR(2) Processes (Optional) 18

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Exercise: ACF and PACF for the AR(2) Model (Optional) Exercise: ACF and PACF for the AR(2) Model (Optional) 19

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Context Module Subheader

Resources 20

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Context Module Subheader

ARMA Models 21

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Video and Review Quiz 2-01: The MA(q) Model Video and Review Quiz 2-01: The MA(q) Model 22

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Video and Review Quiz 2-02: The AR(1) Model Video and Review Quiz 2-02: The AR(1) Model 23

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Video and Review Quiz 2-04: The AR(p) Model Video and Review Quiz 2-04: The AR(p) Model 24

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Context Module Subheader

Forecasting 25

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Video and Review Quiz 2-03: Forecasting with a Stationary AR(1) Model Video and Review Quiz 2-03: Forecasting with a Stationary AR(1) Model 26

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Context Module Subheader

Model Selection 27

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Video and Review Quiz 2-05: Model Selection in ARMA Models Video and Review Quiz 2-05: Model Selection in ARMA Models 28

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Context Module Subheader

Estimation of ARMA Models 29

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Video and Review Quiz 2-06: Estimation of ARMA Models Video and Review Quiz 2-06: Estimation of ARMA Models 30

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Context Module Subheader

The ADL and ECM Models 31

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Video and Review Quiz 2-07: The ADL Model and Dynamic Multipliers Video and Review Quiz 2-07: The ADL Model and Dynamic Multipliers 32

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Video and Review Quiz 2-08: Long-run Multipliers and the Long-run Solution in an ADL Model Video and Review Quiz 2-08: Long-run Multipliers and the Long-run Solution in an ADL Model 33

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Video and Review Quiz 2-09: The Error-correction Model Video and Review Quiz 2-09: The Error-correction Model 34

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Topic 3: Non-stationarity and Cointegration

Topic 3: Non-stationarity and Cointegration Topic 3: Non-stationarity and Cointegration

Context Module Subheader

Assignment 1

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Assignment

Assignment 3: House Prices Assignment 3: House Prices 2

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Discussion topic

Questions for Assignment 3: House Prices Questions for Assignment 3: House Prices 3

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Attachment

General Feedback on Assignment 3.pdf General Feedback on Assignment 3.pdf 4

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Context Module Subheader

Exercises 5

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Problem Set #3: Non-Stationarity and Unit Root Tests. Cointegration and Error Correction Problem Set #3: Non-Stationarity and Unit Root Tests. Cointegration and Error Correction 6

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Tutorial for Exercise #3.2 Tutorial for Exercise #3.2 7

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Video: The Augmented Dickey-Fuller Unit-Root Test in OxMetrics Video: The Augmented Dickey-Fuller Unit-Root Test in OxMetrics 8

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Tutorial for Exercise #3.4 Tutorial for Exercise #3.4 9

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Video: The Engle-Granger Two-Step Cointegration Analysis in OxMetrics Video: The Engle-Granger Two-Step Cointegration Analysis in OxMetrics 10

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Tutorial for Exercise #3.5 Tutorial for Exercise #3.5 11

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Video: Single-Equation Cointegration Analysis Based on the ADL-ECM Model in OxMetrics Video: Single-Equation Cointegration Analysis Based on the ADL-ECM Model in OxMetrics 12

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Context Module Subheader

Resources 13

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Context Module Subheader

AR(1) Proces with a Unit Root 14

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Video and Review Quiz 3-01: The MA Representation of an AR(1) Process with Unit Root Video and Review Quiz 3-01: The MA Representation of an AR(1) Process with Unit Root 15

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Video and Review Quiz 3-02: Properties of an AR(1) Process with a Unit Root Video and Review Quiz 3-02: Properties of an AR(1) Process with a Unit Root 16

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Context Module Subheader

Dickey-Fuller Unit Root Testing 17

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Page

Video and Review Quiz 3-03: The Dickey-Fuller Unit Root Test in an AR(1) Model Video and Review Quiz 3-03: The Dickey-Fuller Unit Root Test in an AR(1) Model 18

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Video and Review Quiz 3-04: The Augmented Dickey-Fuller (ADF) Unit Root Test in an AR(p) Model Video and Review Quiz 3-04: The Augmented Dickey-Fuller (ADF) Unit Root Test in an AR(p) Model 19

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Context Module Subheader

Definition of Cointegration 20

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Video and Review Quiz 3-05: Introduction to Cointegration Video and Review Quiz 3-05: Introduction to Cointegration 21

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Context Module Subheader

The Engle-Granger Two-Step Cointegration Analysis 22

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Video and Review Quiz 3-06: The Engle-Granger Two-Step Cointegration Analysis Video and Review Quiz 3-06: The Engle-Granger Two-Step Cointegration Analysis 23

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Context Module Subheader

The ADL/ECM Single-Equation Cointegration Analysis 24

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Video and Review Quiz 3-07: The ADL/ECM Cointegration Analysis Video and Review Quiz 3-07: The ADL/ECM Cointegration Analysis 25

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Context Module Subheader

An Introduction to the Cointegrated VAR Model 26

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Video: An Introduction to the Cointegrated VAR Model Video: An Introduction to the Cointegrated VAR Model 27

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Topic 4: Models with Time-varying Volatility

Topic 4: Models with Time-varying Volatility Topic 4: Models with Time-varying Volatility

Context Module Subheader

Assignment 1

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Assignment

Assignment 4: Volatility Spillovers in International Stock Returns Assignment 4: Volatility Spillovers in International Stock Returns 2

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Discussion topic

Questions for Assignment 4: Volatility Spillovers in International Stock Returns Questions for Assignment 4: Volatility Spillovers in International Stock Returns 3

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Attachment

Assessment Criteria.pdf Assessment Criteria.pdf 4

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Attachment

General Feedback on Assignment 4.pdf General Feedback on Assignment 4.pdf 5

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Context Module Subheader

Problem Set #4: The ARCH Model 6

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Problem Set #4: The ARCH Model Problem Set #4: The ARCH Model 7

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Page

Tutorial for Exercise #4.2 Tutorial for Exercise #4.2 8

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Context Module Subheader

Resources 9

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Page

Video and Review Quiz 4-01: The ARCH Model Video and Review Quiz 4-01: The ARCH Model 10

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Page

Video and Review Quiz 4-02: The GARCH Model Video and Review Quiz 4-02: The GARCH Model 11

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Review Quiz 4-03: Extensions of the GARCH Model Review Quiz 4-03: Extensions of the GARCH Model 12

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Page

Video: Estimation of GARCH Models in OxMetrics Video: Estimation of GARCH Models in OxMetrics 13

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Topic 5: Generalized Method of Moments

Topic 5: Generalized Method of Moments Topic 5: Generalized Method of Moments

Context Module Subheader

Assignment 1

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Assignment

Assignment 5: The New Keynesian Phillips Curve Assignment 5: The New Keynesian Phillips Curve 2

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Discussion topic

Questions for Assignment 5: The New Keynesian Phillips Curve Questions for Assignment 5: The New Keynesian Phillips Curve 3

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Attachment

Assessment Criteria.pdf Assessment Criteria.pdf 4

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Context Module Subheader

Problem Set #5: GMM 5

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Page

Problem Set #5: Generalized Method of Moments Problem Set #5: Generalized Method of Moments 6

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Page

Tutorial for Exercise #5.2 Tutorial for Exercise #5.2 7

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Context Module Subheader

Resources 8

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Page

Video and Review Quiz 5-01: Introduction to GMM Video and Review Quiz 5-01: Introduction to GMM 9

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Video and Review Quiz 5-02: GMM Estimation and Properties of the Estimator Video and Review Quiz 5-02: GMM Estimation and Properties of the Estimator 10

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Video and Review Quiz 5-03: Efficients GMM Video and Review Quiz 5-03: Efficients GMM 11

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OxMetrics

OxMetrics OxMetrics

Page

OxMetrics Program to Print Model Results in Latex Tables OxMetrics Program to Print Model Results in Latex Tables 1

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Class 2

Class 2 Class 2

Class 3

Class 3 Class 3

Class 4

Class 4 Class 4

Page

Problem Set 1 - Dan Problem Set 1 - Dan 1

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Problem Set 2 - Dan Problem Set 2 - Dan 2

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Problem Set 3 - Dan Problem Set 3 - Dan 3

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Problem Set 4 - Dan Problem Set 4 - Dan 4

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Problem Set 5 - Dan Problem Set 5 - Dan 5

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Class 6

Class 6 Class 6

Class 8

Class 8 Class 8

Attachment

1. Undervisningsgang.pdf 1. Undervisningsgang.pdf 1

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Attachment

2. Undervisningsgang.pdf 2. Undervisningsgang.pdf 3

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Attachment

3. Undervisningsgang.pdf 3. Undervisningsgang.pdf 4

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Attachment

4. Undervisningsgang.pdf 4. Undervisningsgang.pdf 5

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Attachment

9. Undervisningsgang.pdf 9. Undervisningsgang.pdf 6

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Class 9

Class 9 Class 9

Class 10

Class 10 Class 10

Page

Week 38 - Laurits Week 38 - Laurits 1

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Page

Week 39 - Laurits Week 39 - Laurits 2

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Page

Week 40 - Laurits Week 40 - Laurits 3

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Week 41 - Laurits Week 41 - Laurits 4

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Week 43 - Laurits Week 43 - Laurits 5

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Week 44 - Laurits Week 44 - Laurits 6

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Page

Week 45 -Laurits Week 45 -Laurits 8

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Week 46 - Laurits Week 46 - Laurits 9

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Page

Week 47 - Laurits Week 47 - Laurits 10

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Week 48 - Laurits Week 48 - Laurits 11

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Week 49 - Laurits Week 49 - Laurits 12

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Week 50 - Laurits Week 50 - Laurits 13

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Course modules

Information About the Course

The Exam

Topic 1: Linear Regression with Stationary Time Series

Overview 1

Assignment 3

Exercises 11

Resources 17

Time Series and Stationarity 18

The Linear Regression Model and the Method of Moments Estimator 21

Misspecification Testing 24

Questions 27

Topic 2: Dynamic Models

Assignment 3

Exercises 11

Resources 20

ARMA Models 21

Forecasting 25

Model Selection 27

Estimation of ARMA Models 29

The ADL and ECM Models 31

Topic 3: Non-stationarity and Cointegration

Assignment 1

Exercises 5

Resources 13

AR(1) Proces with a Unit Root 14

Dickey-Fuller Unit Root Testing 17

Definition of Cointegration 20

The Engle-Granger Two-Step Cointegration Analysis 22

The ADL/ECM Single-Equation Cointegration Analysis 24

An Introduction to the Cointegrated VAR Model 26

Topic 4: Models with Time-varying Volatility

Assignment 1

Problem Set #4: The ARCH Model 6

Resources 9

Topic 5: Generalized Method of Moments

Assignment 1

Problem Set #5: GMM 5

Resources 8

OxMetrics

Class 2

Class 3

Class 4

Class 6

Class 8

Class 9

Class 10