2200-F18;Econometrics II

Course modules

Information About the Course

Information About the Course Information About the Course

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Information About the Course Information About the Course 1

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Schedule Schedule 2

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Attachment

Assessment Criteria.pdf Assessment Criteria.pdf 3

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OxMetrics

OxMetrics OxMetrics

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How to install OxMetrics How to install OxMetrics 1

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OxMetrics Program to Print Model Results in Latex Tables OxMetrics Program to Print Model Results in Latex Tables 2

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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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Overview for Topic 1 Overview for Topic 1 2

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Context Module Subheader

Assignment 3

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Assignment

Assignment 1: Private Consumption in Denmark Assignment 1: Private Consumption in Denmark 4

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Attachment

Assessment Criteria.pdf Assessment Criteria.pdf 5

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Attachment

General Feedback on Assignment 1.pdf General Feedback on Assignment 1.pdf 6

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Attachment

General Feedback on Assignment 1 (Annotated).pdf General Feedback on Assignment 1 (Annotated).pdf 7

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Context Module Subheader

Resources 8

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Context Module Subheader

Time Series and Stationarity 9

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Video and Review Quiz 1-01: Time Series and Stationarity Video and Review Quiz 1-01: Time Series and Stationarity 10

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Context Module Subheader

The Linear Regression Model and the Method of Moments Estimator 11

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Video and Review Quiz 1-02: The Linear Regression Model and the Method of Moments Estimator Video and Review Quiz 1-02: The Linear Regression Model and the Method of Moments Estimator 12

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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 13

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Context Module Subheader

Misspecification Testing 14

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Review Quiz 1-04: Model Specification and Misspecification Testing Review Quiz 1-04: Model Specification and Misspecification Testing 15

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Review Quiz 1-05: Misspecification Testing Review Quiz 1-05: Misspecification Testing 16

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Context Module Subheader

Empirical Exercises 17

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Empirical Exercise 1.1 - Time Series Regression for Private Consumption Empirical Exercise 1.1 - Time Series Regression for Private Consumption 18

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Video: Loading, Transforming, and Plotting Data in OxMetrics Video: Loading, Transforming, and Plotting Data in OxMetrics 19

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Video: Estimating a Linear Regression Model for Stationary Time Series in OxMetrics Video: Estimating a Linear Regression Model for Stationary Time Series in OxMetrics 20

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Context Module Subheader

Questions 21

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Discussion topic

Question for Topic 1 and Assignment 1 Question for Topic 1 and Assignment 1 22

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Topic 2: Dynamic Models

Topic 2: Dynamic Models Topic 2: Dynamic Models

Context Module Subheader

Assignment 1

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Assignment

Assignment 2: Forecasting the Price of Owner-Occupied Apartments Assignment 2: Forecasting the Price of Owner-Occupied Apartments 2

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Attachment

Assessment Criteria.pdf Assessment Criteria.pdf 3

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Attachment

General Feedback on Assignment 2.pdf General Feedback on Assignment 2.pdf 4

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Attachment

General Feedback on Assignment 2 (Annotated).pdf General Feedback on Assignment 2 (Annotated).pdf 5

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Context Module Subheader

Resources 6

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Context Module Subheader

ARMA Models 7

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Video and Review Quiz 2-01: The MA(q) Model Video and Review Quiz 2-01: The MA(q) Model 8

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Video and Review Quiz 2-02: The AR(1) Model Video and Review Quiz 2-02: The AR(1) Model 9

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Video and Review Quiz 2-04: The AR(p) Model Video and Review Quiz 2-04: The AR(p) Model 10

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Context Module Subheader

Forecasting 11

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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 12

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Context Module Subheader

Model Selection 13

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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 14

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Context Module Subheader

Estimation of ARMA Models 15

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Video and Review Quiz 2-06: Estimation of ARMA Models Video and Review Quiz 2-06: Estimation of ARMA Models 16

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Context Module Subheader

The ADL and ECM Models 17

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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 18

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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 19

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Video and Review Quiz 2-09: The Error-correction Model Video and Review Quiz 2-09: The Error-correction Model 20

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Theoretical Exercises 21

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Theoretical Exercises 2 Theoretical Exercises 2 22

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Empirical Exercises 23

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Empirical Exercises 2 - Univariate Time Series Models Empirical Exercises 2 - Univariate Time Series Models 24

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Video: Estimation of Univariate Autoregressive (AR) Models in OxMetrics Video: Estimation of Univariate Autoregressive (AR) Models in OxMetrics 25

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Video: Estimation of ARMA Models in OxMetrics Video: Estimation of ARMA Models in OxMetrics 26

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Video: Forecasting Based on Univariate Autoregressive Models in OxMetrics Video: Forecasting Based on Univariate Autoregressive Models in OxMetrics 27

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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 28

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Questions 29

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Discussion topic

Questions for Topic 2 and Assignment 2 Questions for Topic 2 and Assignment 2 30

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Topic 3: Unit Roots and Cointegration

Topic 3: Unit Roots and Cointegration Topic 3: Unit Roots and Cointegration

Context Module Subheader

Assignment 1

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Assignment

Assignment 3: Interest Rate Pass-Through Assignment 3: Interest Rate Pass-Through 2

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Attachment

Assessment Criteria.pdf Assessment Criteria.pdf 3

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Resources 4

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Context Module Subheader

AR(1) Model with a Unit Root 5

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Video and Review Quiz 3-01: The MA Representation of an AR(1) Process with a Unit Root Video and Review Quiz 3-01: The MA Representation of an AR(1) Process with a Unit Root 6

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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 7

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Context Module Subheader

Dickey-Fuller Unit Root Testing 8

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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 9

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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 10

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Context Module Subheader

Definition of Cointegration 11

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Video and Review Quiz 3-05: Introduction to Cointegration Video and Review Quiz 3-05: Introduction to Cointegration 12

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The Engle-Granger Two-Step Cointegration Analysis 13

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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 14

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Context Module Subheader

The ADL/ECM Single-Equation Cointegration Analysis 15

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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 16

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Context Module Subheader

An Introduction to the Cointegrated VAR Model 17

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Video: An Introduction to the Cointegrated VAR Model Video: An Introduction to the Cointegrated VAR Model 18

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Theoretical Exercises 19

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Theoretical Exercises 3A - Unit Roots and Unit-Root Testing Theoretical Exercises 3A - Unit Roots and Unit-Root Testing 20

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Theoretical Exercises 3B - Cointegration and Error-Correction Theoretical Exercises 3B - Cointegration and Error-Correction 21

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Empirical Exercises 22

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Empirical Exercises 3A: Unit-Root Non-Stationarity and Unit Root Testing Empirical Exercises 3A: Unit-Root Non-Stationarity and Unit Root Testing 23

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Empirical Exercises 3B: Cointegration Empirical Exercises 3B: Cointegration 24

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Video: The Augmented Dickey-Fuller Unit-Root Test in OxMetrics Video: The Augmented Dickey-Fuller Unit-Root Test in OxMetrics 25

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Video: The Engle-Granger Two-Step Cointegration Analysis in OxMetrics Video: The Engle-Granger Two-Step Cointegration Analysis in OxMetrics 26

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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 27

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Context Module Subheader

Questions 28

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Discussion topic

Questions for Topic 3 and Assignment 3 Questions for Topic 3 and Assignment 3 29

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Topic 4: Time-Varying Volatility

Topic 4: Time-Varying Volatility Topic 4: Time-Varying Volatility

Context Module Subheader

Assignment 1

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Assignment

Assignment 4: Volatility of Excess Returns Assignment 4: Volatility of Excess Returns 2

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

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General Feedback on Assignment 4 (Annotated).pdf General Feedback on Assignment 4 (Annotated).pdf 4

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Resources 5

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Video and Review Quiz 4-01: The ARCH Model Video and Review Quiz 4-01: The ARCH Model 6

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Video and Review Quiz 4-02: The GARCH Model Video and Review Quiz 4-02: The GARCH Model 7

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Review Quiz 4-03: Extensions of the GARCH Model Review Quiz 4-03: Extensions of the GARCH Model 8

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Context Module Subheader

Theoretical Exercises 9

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Theoretical Exercises 4: The ARCH Model Theoretical Exercises 4: The ARCH Model 10

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Context Module Subheader

Empirical Exercises 11

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Empirical Exercises 4: The ARCH Model Empirical Exercises 4: The ARCH Model 12

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

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Context Module Subheader

Questions 14

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Discussion topic

Questions for Topic 4 and Assignment 4 Questions for Topic 4 and Assignment 4 15

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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: Monetary Policy and Asset Price Volatility Assignment 5: Monetary Policy and Asset Price Volatility 2

assignment 556620 1

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Context Module Subheader

Resources 3

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Video and Review Quiz 5-01: Introduction to GMM Video and Review Quiz 5-01: Introduction to GMM 4

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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 5

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Video and Review Quiz 5-03: Efficients GMM Video and Review Quiz 5-03: Efficients GMM 6

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Context Module Subheader

Theoretical Exercises 7

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Theoretical Exercises 5: Generalized Method of Moments Theoretical Exercises 5: Generalized Method of Moments 8

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Context Module Subheader

Empirical Exercises 9

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Empirical Exercises 5: Generalized Method of Moments Empirical Exercises 5: Generalized Method of Moments 10

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Context Module Subheader

Questions 11

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Discussion topic

Questions for Topic 5 and Assignment 5 Questions for Topic 5 and Assignment 5 12

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2200-F18;Econometrics II

Course modules

Information About the Course

OxMetrics

Topic 1: Linear Regression with Stationary Time Series

Overview 1

Assignment 3

Resources 8

Time Series and Stationarity 9

The Linear Regression Model and the Method of Moments Estimator 11

Misspecification Testing 14

Empirical Exercises 17

Questions 21

Topic 2: Dynamic Models

Assignment 1

Resources 6

ARMA Models 7

Forecasting 11

Model Selection 13

Estimation of ARMA Models 15

The ADL and ECM Models 17

Theoretical Exercises 21

Empirical Exercises 23

Questions 29

Topic 3: Unit Roots and Cointegration

Assignment 1

Resources 4

AR(1) Model with a Unit Root 5

Dickey-Fuller Unit Root Testing 8

Definition of Cointegration 11

The Engle-Granger Two-Step Cointegration Analysis 13

The ADL/ECM Single-Equation Cointegration Analysis 15

An Introduction to the Cointegrated VAR Model 17

Theoretical Exercises 19

Empirical Exercises 22

Questions 28

Topic 4: Time-Varying Volatility

Assignment 1

Resources 5

Theoretical Exercises 9

Empirical Exercises 11

Questions 14

Topic 5: Generalized Method of Moments

Assignment 1

Resources 3

Theoretical Exercises 7

Empirical Exercises 9

Questions 11