2200-E18;Econometrics II

2200-E18;Econometrics II

Course modules

Information About the Course

Information About the Course
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    Information About the Course Information About the Course
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    Schedule Schedule
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    Assessment Criteria.pdf Assessment Criteria.pdf
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OxMetrics

OxMetrics
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OxMetrics 122916  
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    Install OxMetrics Install OxMetrics
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    OxMetrics Program to Print Model Results in Latex Tables OxMetrics Program to Print Model Results in Latex Tables
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Sep. 4 | Theoretical Exercise 1: Introduction to the Course and Economic Time Series

Sep. 4 | Theoretical Exercise 1: Introduction to the Course and Economic Time Series
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    Information About the Course Information About the Course
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    Download and Print Problem Set #1 Download and Print Problem Set #1
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    Exercise Class 1: In-Class Activities and Resources Exercise Class 1: In-Class Activities and Resources
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Sep. 5 | Lecture 1: An Introduction to Time Series and Stationarity

Sep. 5 | Lecture 1: An Introduction to Time Series and Stationarity
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    Readings: Lecture Note 1, An Introduction to Time Series and Stationarity, pages 1-13 (13 pages) Readings: Lecture Note 1, An Introduction to Time Series and Stationarity, pages 1-13 (13 pages)
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    Video: An Introduction to Time Series and Stationarity (10 minutes) Video: An Introduction to Time Series and Stationarity (10 minutes)
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    Review Slides: 01A An Introduction to Time Series and Stationarity Review Slides: 01A An Introduction to Time Series and Stationarity
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    Review Quiz 1-01: Time Series and Stationarity (8 questions) Review Quiz 1-01: Time Series and Stationarity (8 questions)
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    Questions for Sep. 5 | Lecture 1: An Introduction to Time Series and Stationarity Questions for Sep. 5 | Lecture 1: An Introduction to Time Series and Stationarity
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    01A Introduction to Economic Time Series (Annotated).pdf 01A Introduction to Economic Time Series (Annotated).pdf
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Sep. 6 | Lecture 2: Linear Regression with Stationary Time Series

Sep. 6 | Lecture 2: Linear Regression with Stationary Time Series
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    Readings: Lecture Note 2, Linear Regression with Time Series, pages 1-8 (8 pages) Readings: Lecture Note 2, Linear Regression with Time Series, pages 1-8 (8 pages)
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    Video: The Linear Regression Model and the Method of Moments Estimator (10 minutes) Video: The Linear Regression Model and the Method of Moments Estimator (10 minutes)
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    Review Slides: 01B Linear Regression with Time Series, slides 4-9 (5 slides) Review Slides: 01B Linear Regression with Time Series, slides 4-9 (5 slides)
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  • Quiz
    Review Quiz 1-02: The Linear Regression Model and the Method of Moments Estimator (9 questions) Review Quiz 1-02: The Linear Regression Model and the Method of Moments Estimator (9 questions)
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  • Discussion topic
    Questions for Sep.6 | Lecture 2: Linear Regression for Time Series and the Method of Moments (MM) Estimator Questions for Sep.6 | Lecture 2: Linear Regression for Time Series and the Method of Moments (MM) Estimator
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    01B Linear Regression with Time Series Data (Annotated).pdf 01B Linear Regression with Time Series Data (Annotated).pdf
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Sep. 11 | Empirical Exercise 2: Time Series Regression for Private Consumption

Sep. 11 | Empirical Exercise 2: Time Series Regression for Private Consumption
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    Install OxMetrics Install OxMetrics
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    Empirical Exercise 1.2: Time Series Regression for Private Consumption Empirical Exercise 1.2: Time Series Regression for Private Consumption
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    Empirical Exercise 1.2 - Question 1 Empirical Exercise 1.2 - Question 1
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    Empirical Exercise 1.2 - Question 2 Empirical Exercise 1.2 - Question 2
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    Empirical Exercise 1.2 - Question 3 Empirical Exercise 1.2 - Question 3
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    Empirical Exercise 1.2 - Question 4 Empirical Exercise 1.2 - Question 4
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    Empirical Exercise 1.2 - Question 5 Empirical Exercise 1.2 - Question 5
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    Empirical Exercise 1.2 - Question 6 Empirical Exercise 1.2 - Question 6
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    Video: Loading, transforming, and Plotting Data in OxMetrics (10 minutes) Video: Loading, transforming, and Plotting Data in OxMetrics (10 minutes)
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    Video: Estimating a Linear Regression Model for Stationary Time Series in OxMetrics (10 minutes) Video: Estimating a Linear Regression Model for Stationary Time Series in OxMetrics (10 minutes)
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Sep. 12 | Lecture 3: Properties of the Method of Moments Estimator

Sep. 12 | Lecture 3: Properties of the Method of Moments Estimator
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    Readings: Lecture Note 2, Linear Regression with Time Series, pages 5-15 (10 pages) Readings: Lecture Note 2, Linear Regression with Time Series, pages 5-15 (10 pages)
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    Video: Properties of the MM Estimator in the Linear Regression Model for Stationary Time Series (10 minutes) Video: Properties of the MM Estimator in the Linear Regression Model for Stationary Time Series (10 minutes)
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    Review Slides: 01B Linear Regression with Time Series, slides 10-22 (13 slides) Review Slides: 01B Linear Regression with Time Series, slides 10-22 (13 slides)
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  • Quiz
    Review Quiz 1-03: Properties of the MM Estimator in the Linear Regression Model for Stationary Time Series (8 questions) Review Quiz 1-03: Properties of the MM Estimator in the Linear Regression Model for Stationary Time Series (8 questions)
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    Questions for Sep. 12 | Lecture 3: Properties of the Method of Moments Estimator Questions for Sep. 12 | Lecture 3: Properties of the Method of Moments Estimator
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    01B Linear Regression with Time Series Data (Annotated).pdf 01B Linear Regression with Time Series Data (Annotated).pdf
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Sep. 13 | Lecture 4: Model Specification and Misspecification Testing

Sep. 13 | Lecture 4: Model Specification and Misspecification Testing
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    Readings: Lecture Note 2, Linear Regression with Time Series, pages 15-22 (8 pages) Readings: Lecture Note 2, Linear Regression with Time Series, pages 15-22 (8 pages)
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    Review Slides: 01B Linear Regression with Time Series, slides 23-39 (17 slides) Review Slides: 01B Linear Regression with Time Series, slides 23-39 (17 slides)
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    Review Quiz 1-04: Model Specification and Misspecification Testing (11 questions) Review Quiz 1-04: Model Specification and Misspecification Testing (11 questions)
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    Questions for Sep. 13 | Lecture 4: Model Specification and Misspecification Testing Questions for Sep. 13 | Lecture 4: Model Specification and Misspecification Testing
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    01B Linear Regression with Time Series Data (Annotated).pdf 01B Linear Regression with Time Series Data (Annotated).pdf
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Sep. 18 | Empirical Exercise 3: Time Series Regression for Private Consumption Copy

Sep. 18 | Empirical Exercise 3: Time Series Regression for Private Consumption Copy
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    Empirical Exercise 1.2: Time Series Regression for Private Consumption Empirical Exercise 1.2: Time Series Regression for Private Consumption
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    Empirical Exercise 1.2 - Question 7 Empirical Exercise 1.2 - Question 7
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    Empirical Exercise 1.2 - Question 8 Empirical Exercise 1.2 - Question 8
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    Empirical Exercise 1.2 - Question 9 Empirical Exercise 1.2 - Question 9
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    Empirical Exercise 1.2 - Question 10 Empirical Exercise 1.2 - Question 10
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    Empirical Exercise 1.2 - Question 11 Empirical Exercise 1.2 - Question 11
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    Empirical Exercise 1.2 - Question 12 (optional) Empirical Exercise 1.2 - Question 12 (optional)
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    Empirical Exercise 1.2 - Feedback Empirical Exercise 1.2 - Feedback
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    Video: Loading, transforming, and Plotting Data in OxMetrics (10 minutes) Video: Loading, transforming, and Plotting Data in OxMetrics (10 minutes)
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    Video: Estimating a Linear Regression Model for Stationary Time Series in OxMetrics (10 minutes) Video: Estimating a Linear Regression Model for Stationary Time Series in OxMetrics (10 minutes)
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Sep. 19 | Lecture 5: Review of Model Selection, Misspecification Testing, and Dynamic Completeness and Tips for Writing

Sep. 19 | Lecture 5: Review of Model Selection, Misspecification Testing, and Dynamic Completeness and Tips for Writing
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    Readings: Lecture Note 2, Linear Regression with Time Series, sections 4-6, pages 12-22 (11 pages) Readings: Lecture Note 2, Linear Regression with Time Series, sections 4-6, pages 12-22 (11 pages)
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    Review Slides: 01B Linear Regression with Time Series, slides 23-39 (17 slides)-2 Review Slides: 01B Linear Regression with Time Series, slides 23-39 (17 slides)-2
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    Questions for Sep. 19 | Lecture 5: Review of Model Selection, Misspecification Testing, and Dynamic Completeness Questions for Sep. 19 | Lecture 5: Review of Model Selection, Misspecification Testing, and Dynamic Completeness
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    Tips for Writing.pdf Tips for Writing.pdf
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    01B Linear Regression with Time Series Data (Annotated).pdf 01B Linear Regression with Time Series Data (Annotated).pdf
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Sep. 20 | Lecture 6: Review of the Linear Regression Model for Stationary Time Series

Sep. 20 | Lecture 6: Review of the Linear Regression Model for Stationary Time Series
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Sep. 22 | Assignment 1: Nominal Wage Growth

Sep. 22 | Assignment 1: Nominal Wage Growth
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    Assignment 1: Nominal Wage Growth Assignment 1: Nominal Wage Growth
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    Questions for Assignment 1: Nominal Wage Growth Questions for Assignment 1: Nominal Wage Growth
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Sep. 25 | Theoretical Exercise 4: The First-Order Moving Average and Autoregressive Models

Sep. 25 | Theoretical Exercise 4: The First-Order Moving Average and Autoregressive Models
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    Download and Print Problem Set #2 Download and Print Problem Set #2
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    Solution Guide - Exercise 2.1 and 2.2.pdf Solution Guide - Exercise 2.1 and 2.2.pdf
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Sep. 26 | Lecture 7: The MA(q) and AR(1) Models

Sep. 26 | Lecture 7: The MA(q) and AR(1) Models
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    Readings: Lecture Note 4, sections 1-3.1, pages 1-8 (8 pages) Readings: Lecture Note 4, sections 1-3.1, pages 1-8 (8 pages)
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    Video: The MA(q) Model (10 minutes) Video: The MA(q) Model (10 minutes)
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    Video: The AR(1) Model (17 minutes) Video: The AR(1) Model (17 minutes)
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    Review Slides: 02 Dynamic Models for Stationary Time Series, sections 2-3, slides 5-17 (13 slides) Review Slides: 02 Dynamic Models for Stationary Time Series, sections 2-3, slides 5-17 (13 slides)
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    Review Quiz 2-01: The MA(q) Model Review Quiz 2-01: The MA(q) Model
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  • Quiz
    Review Quiz 2-02: The AR(1) Model Review Quiz 2-02: The AR(1) Model
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    Questions for Sep. 26 | Lecture 7: The MA(q) and AR(1) Models Questions for Sep. 26 | Lecture 7: The MA(q) and AR(1) Models
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    02 Dynamic Models for Stationary Time Series (Annotated).pdf 02 Dynamic Models for Stationary Time Series (Annotated).pdf
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Sep. 27 | Lecture 8: The AR(p) Model and General Feedback on Assignment 1

Sep. 27 | Lecture 8: The AR(p) Model and General Feedback on Assignment 1
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    Readings: Lecture Note 4, sections 3.2-3.3, pages 8-13 (6 pages) Readings: Lecture Note 4, sections 3.2-3.3, pages 8-13 (6 pages)
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    Video: The AR(p) Model (9 minutes) Video: The AR(p) Model (9 minutes)
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    Review Slides: 02 Dynamic Models for Stationary Time Series, sections 4-5, slides 18-28 (11 slides) Review Slides: 02 Dynamic Models for Stationary Time Series, sections 4-5, slides 18-28 (11 slides)
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    Review Quiz 2-03: The AR(p) Model Review Quiz 2-03: The AR(p) Model
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    Questions for Sep. 27 | Lecture 8: The AR(p) Model Questions for Sep. 27 | Lecture 8: The AR(p) Model
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    02 Dynamic Models for Stationary Time Series (Annotated).pdf 02 Dynamic Models for Stationary Time Series (Annotated).pdf
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    General Feedback on Assignment 1.pdf General Feedback on Assignment 1.pdf
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    General Feedback on Assignment 1 (Annotated).pdf General Feedback on Assignment 1 (Annotated).pdf
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Oct. 2 | Empirical Exercise 5: Dynamic Models for Danish Time Series

Oct. 2 | Empirical Exercise 5: Dynamic Models for Danish Time Series
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    Video: Estimation of Univariate Autoregressive (AR) Models in OxMetrics (10 min) Video: Estimation of Univariate Autoregressive (AR) Models in OxMetrics (10 min)
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    Video: Estimation of ARMA Models in OxMetrics (10 min) Video: Estimation of ARMA Models in OxMetrics (10 min)
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    Video: Forecasting Based on Univariate Autoregressive Models in OxMetrics (8 min) Video: Forecasting Based on Univariate Autoregressive Models in OxMetrics (8 min)
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    Empirical Exercise 2.3: ARIMA Models for Danish Macro Time Series Empirical Exercise 2.3: ARIMA Models for Danish Macro Time Series
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Oct. 3 | Lecture 9: Model Selection and Forecasting with Dynamic Models

Oct. 3 | Lecture 9: Model Selection and Forecasting with Dynamic Models
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    Readings: Lecture Note 4, sections 4.1-5, p. 15-20 (6 pages) Readings: Lecture Note 4, sections 4.1-5, p. 15-20 (6 pages)
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    Video: Model Selection in ARMA Models (10 min) Video: Model Selection in ARMA Models (10 min)
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    Video: Forecasting with a Stationary AR(1) Model (10 min) Video: Forecasting with a Stationary AR(1) Model (10 min)
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    Review Slides: 02 Dynamic Models for Stationary Time Series, sections 7-8, slides 34-44 (11 slides) Review Slides: 02 Dynamic Models for Stationary Time Series, sections 7-8, slides 34-44 (11 slides)
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  • Quiz
    Review Quiz 2-04: Model Selection in ARMA Models (4 Questions) Review Quiz 2-04: Model Selection in ARMA Models (4 Questions)
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    Review Quiz 2-05: Forecasting with a Stationary AR(1) Model (4 Questions) Review Quiz 2-05: Forecasting with a Stationary AR(1) Model (4 Questions)
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    CharacteristicRoots.ox CharacteristicRoots.ox
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Oct. 4 | Lecture 10: Estimation of Dynamic Models

Oct. 4 | Lecture 10: Estimation of Dynamic Models
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    Readings: Lecture Note 4, sections 4, p. 13-14, and Verbeek, sections 6-6.1.4, p. 187-197, and section 8.6 (15 pages) Readings: Lecture Note 4, sections 4, p. 13-14, and Verbeek, sections 6-6.1.4, p. 187-197, and section 8.6 (15 pages)
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    Review Slides: 02 Dynamic Models for Stationary Time Series, section 6, slides 29-33 (5 slides) Review Slides: 02 Dynamic Models for Stationary Time Series, section 6, slides 29-33 (5 slides)
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    Video: OLS Estimation in the AR(1) Model Video: OLS Estimation in the AR(1) Model
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    Video: Maximum Likelihood Estimation in the AR(1) Model Video: Maximum Likelihood Estimation in the AR(1) Model
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  • Quiz
    Review Quiz 2-06: Maximum Likelihood Estimation of ARMA Models Review Quiz 2-06: Maximum Likelihood Estimation of ARMA Models
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    Solution Guide - Exercise 2.4.pdf Solution Guide - Exercise 2.4.pdf
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Oct. 6 | Assignment 2: Forecasting GDP Growth

Oct. 6 | Assignment 2: Forecasting GDP Growth
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    Assignment 2: Forecasting GDP Growth Assignment 2: Forecasting GDP Growth
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    Questions for Assignment 2: Forecasting GDP Growth Questions for Assignment 2: Forecasting GDP Growth
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Oct. 9 | Theoretical Exercise 6: Unit Roots in Autoregressive Models

Oct. 9 | Theoretical Exercise 6: Unit Roots in Autoregressive Models
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    Download and Print Problem Set 3A Download and Print Problem Set 3A
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    Problem Set 3A - Solution Guide.pdf Problem Set 3A - Solution Guide.pdf
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Oct. 10 | Lecture 11: Unit Roots in Autoregressive Models

Oct. 10 | Lecture 11: Unit Roots in Autoregressive Models
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    Readings: Lecture Note 5, sections 1-3, pages 1-11 (11 pages) Readings: Lecture Note 5, sections 1-3, pages 1-11 (11 pages)
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    Review Slides: 03A Non-Stationarity and Unit Root Testing, sections 1-2, slides 1-16 (16 slides) Review Slides: 03A Non-Stationarity and Unit Root Testing, sections 1-2, slides 1-16 (16 slides)
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    Video: The Moving-Average Representation for an AR(1) Process with a Unit Root (9 minutes) Video: The Moving-Average Representation for an AR(1) Process with a Unit Root (9 minutes)
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    Video: Properties of an AR(1) Process with a Unit Root (10 minutes) Video: Properties of an AR(1) Process with a Unit Root (10 minutes)
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  • Quiz
    Review Quiz 3-01: The MA Representation for an AR(1) Process with a Unit Root (7 questions) Review Quiz 3-01: The MA Representation for an AR(1) Process with a Unit Root (7 questions)
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  • Quiz
    Review Quiz 3-02: Properties of an AR(1) Process with a Unit Root (4 questions) Review Quiz 3-02: Properties of an AR(1) Process with a Unit Root (4 questions)
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  • Discussion topic
    Questions for Oct. 10 | Lecture 11: Unit Roots in Autoregressive Models Questions for Oct. 10 | Lecture 11: Unit Roots in Autoregressive Models
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    03A Non-stationarity and Unit Root Testing (Annotated).pdf 03A Non-stationarity and Unit Root Testing (Annotated).pdf
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    Consistency in AR1 model illustration.ox Consistency in AR1 model illustration.ox
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    Unit Root Asymptotics.ox Unit Root Asymptotics.ox
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Oct. 11 | Lecture 12: Dickey-Fuller Unit-Root Testing

Oct. 11 | Lecture 12: Dickey-Fuller Unit-Root Testing
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    Readings: Lecture Note 5, sections 4-6, pages 11-21 (10 pages) Readings: Lecture Note 5, sections 4-6, pages 11-21 (10 pages)
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    Review Slides: 03A Non-Stationarity and Unit Root Testing, sections 3-4, slides 17-35 (18 slides) Review Slides: 03A Non-Stationarity and Unit Root Testing, sections 3-4, slides 17-35 (18 slides)
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    Video: The Dickey-Fuller (DF) Unit Root Test in an AR(1) Model (8 minutes) Video: The Dickey-Fuller (DF) Unit Root Test in an AR(1) Model (8 minutes)
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    Video: The Augmented Dickey-Fuller (ADF) Unit Root Test in an AR(p) Model (9 minutes) Video: The Augmented Dickey-Fuller (ADF) Unit Root Test in an AR(p) Model (9 minutes)
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    Review Quiz 3-03: The Dickey-Fuller Unit Root Test in an AR(1) Model (6 questions) Review Quiz 3-03: The Dickey-Fuller Unit Root Test in an AR(1) Model (6 questions)
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  • Quiz
    Review Quiz 3-04: The Augmented Dickey-Fuller Unit Root Test in an AR(p) Model (5 questions) Review Quiz 3-04: The Augmented Dickey-Fuller Unit Root Test in an AR(p) Model (5 questions)
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    Questions for Oct. 11 | Lecture 12: Dickey-Fuller Unit-Root Testing Questions for Oct. 11 | Lecture 12: Dickey-Fuller Unit-Root Testing
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    03A Non-stationarity and Unit Root Testing (Annotated).pdf 03A Non-stationarity and Unit Root Testing (Annotated).pdf
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    General Feedback on Assignment 2 (Annotated).pdf General Feedback on Assignment 2 (Annotated).pdf
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Oct. 23 | Empirical Exercise 7: Unit Roots in Danish Macro Series

Oct. 23 | Empirical Exercise 7: Unit Roots in Danish Macro Series
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    Video: The Augmented Dickey-Fuller Unit-Root Test in OxMetrics (10 minutes) Video: The Augmented Dickey-Fuller Unit-Root Test in OxMetrics (10 minutes)
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    Empirical Exercise 3.4: Unit Roots in Danish Macro-Variables Empirical Exercise 3.4: Unit Roots in Danish Macro-Variables
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Oct. 24 | Lecture 13: Definition of Cointegration

Oct. 24 | Lecture 13: Definition of Cointegration
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    Readings: Lecture Note 6, section 1, pages 1-10 (10 pages) Readings: Lecture Note 6, section 1, pages 1-10 (10 pages)
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    Video: An Introduction to Cointegration (9 minutes) Video: An Introduction to Cointegration (9 minutes)
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    Review Slides: 03B Cointegration, sections 1-2, slides 4-17 (14 slides) Review Slides: 03B Cointegration, sections 1-2, slides 4-17 (14 slides)
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    Review Quiz 3-05: Cointegration (7 Questions) Review Quiz 3-05: Cointegration (7 Questions)
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    Questions for Oct. 24 | Lecture 13: Definition of Cointegration Questions for Oct. 24 | Lecture 13: Definition of Cointegration
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Oct. 25 | Lecture 14: The Engle-Granger and ADL Cointegration Analyses

Oct. 25 | Lecture 14: The Engle-Granger and ADL Cointegration Analyses
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    Readings: Lecture Note 6, sections 2-3, pages 10-27 (17 pages) Readings: Lecture Note 6, sections 2-3, pages 10-27 (17 pages)
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    Video: An Outline of the Engle-Granger Two-Step Cointegration Analysis (9 minutes) Video: An Outline of the Engle-Granger Two-Step Cointegration Analysis (9 minutes)
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    Video: An Outline of Cointegration Analysis Based on a ADL/ECM Model (9 minutes) Video: An Outline of Cointegration Analysis Based on a ADL/ECM Model (9 minutes)
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    Review Slides: 03B Cointegration, sections 3 and 5, slides 18-26 and 32-41 (19 slides) Review Slides: 03B Cointegration, sections 3 and 5, slides 18-26 and 32-41 (19 slides)
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    Review Quiz 3-06: The Engle-Granger Two-Step Cointegration Analysis (7 Questions) Review Quiz 3-06: The Engle-Granger Two-Step Cointegration Analysis (7 Questions)
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    Review Quiz 3-07: Cointegration Analysis Based on the ADL and ECM Models (6 Questions) Review Quiz 3-07: Cointegration Analysis Based on the ADL and ECM Models (6 Questions)
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    Questions for Oct. 25 | Lecture 14: The Engle-Granger and ADL Cointegration Analyses Questions for Oct. 25 | Lecture 14: The Engle-Granger and ADL Cointegration Analyses
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Oct. 30 | Empirical Exercise 8: A Cointegration Analysis for Danish Consumption

Oct. 30 | Empirical Exercise 8: A Cointegration Analysis for Danish Consumption
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    Empirical Exercise 3.6 - Question 1 Empirical Exercise 3.6 - Question 1
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    Empirical Exercise 3.7 - Question 1 Empirical Exercise 3.7 - Question 1
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    Video: The Augmented Dickey-Fuller Unit-Root Test in OxMetrics (10 minutes) Video: The Augmented Dickey-Fuller Unit-Root Test in OxMetrics (10 minutes)
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    Video: The Engle-Granger Two-Step Cointegration Analysis in OxMetrics (10 minutes) Video: The Engle-Granger Two-Step Cointegration Analysis in OxMetrics (10 minutes)
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    Video: Single-Equation Cointegration Analysis Based on the ADL-ECM Model in OxMetrics (10 minutes) Video: Single-Equation Cointegration Analysis Based on the ADL-ECM Model in OxMetrics (10 minutes)
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    Empirical Exercises 3.6 and 3.7: Cointegration Analyses of Danish Consumption Empirical Exercises 3.6 and 3.7: Cointegration Analyses of Danish Consumption
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Oct. 31 | Lecture 15: Empirical Examples and Comparison of the Engle-Granger and ADL Cointegration Approaches

Oct. 31 | Lecture 15: Empirical Examples and Comparison of the Engle-Granger and ADL Cointegration Approaches
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    Readings: Lecture Note 6, sections 2-4, pages 10-28 (18 pages) Readings: Lecture Note 6, sections 2-4, pages 10-28 (18 pages)
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    Review Slides: 03B Cointegration, sections 4 and 6-7, slides 27-31 and 42-51 (15 slides) Review Slides: 03B Cointegration, sections 4 and 6-7, slides 27-31 and 42-51 (15 slides)
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    Questions for Oct. 31 | Lecture 15: Empirical Examples and Comparison of the Engle-Granger and ADL Cointegration Approaches Questions for Oct. 31 | Lecture 15: Empirical Examples and Comparison of the Engle-Granger and ADL Cointegration Approaches
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Nov. 1 | Lecture 16: Review of Cointegration and Introduction to the Cointegrated VAR Model

Nov. 1 | Lecture 16: Review of Cointegration and Introduction to the Cointegrated VAR Model
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    Readings: Lecture Note 6, sections 4-5, pages 27-31 (5 pages) Readings: Lecture Note 6, sections 4-5, pages 27-31 (5 pages)
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    Video: An Introduction to the Cointegrated VAR Model (9 minutes) Video: An Introduction to the Cointegrated VAR Model (9 minutes)
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    Review Slides: 03C VAR Models, sections 1-4, slides 1-16 (16 slides) Review Slides: 03C VAR Models, sections 1-4, slides 1-16 (16 slides)
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    Questions for Nov. 1 | Lecture 16: Review of Cointegration and Introduction to the Cointegrated VAR Model Questions for Nov. 1 | Lecture 16: Review of Cointegration and Introduction to the Cointegrated VAR Model
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Nov. 3 | Assignment 3: The Effects of Housing and Financial Wealth on Consumption

Nov. 3 | Assignment 3: The Effects of Housing and Financial Wealth on Consumption
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    Assignment 3: The Effects of Housing and Financial Wealth on Consumption Assignment 3: The Effects of Housing and Financial Wealth on Consumption
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    Questions for Assignment 3: The Effects of Housing and Financial Wealth on Consumption Questions for Assignment 3: The Effects of Housing and Financial Wealth on Consumption
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Nov. 6 | Theoretical Exercise 9: The ARCH Model

Nov. 6 | Theoretical Exercise 9: The ARCH Model
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    Download and Print Problem Set 4 Download and Print Problem Set 4
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Nov. 7 | Lecture 17: The ARCH Model

Nov. 7 | Lecture 17: The ARCH Model
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    Readings: Lecture Note 7, Sections 1-3, p. 1-8 (8 pages) Readings: Lecture Note 7, Sections 1-3, p. 1-8 (8 pages)
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    Video: An Introduction to ARCH Models (10 minutes) Video: An Introduction to ARCH Models (10 minutes)
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    Review Slides: 04 ARCH, Section 2, slides 7-13 (7 slides) Review Slides: 04 ARCH, Section 2, slides 7-13 (7 slides)
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    Review Quiz 4-01: The ARCH Model (8 questions) Review Quiz 4-01: The ARCH Model (8 questions)
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    Questions for Nov. 7 | Lecture 17: The ARCH Model Questions for Nov. 7 | Lecture 17: The ARCH Model
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    Engle (2003) - Risk and Volatility - Econometric Models and Financial Practice.pdf Engle (2003) - Risk and Volatility - Econometric Models and Financial Practice.pdf
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Nov. 8 | Lecture 18: The GARCH Model and General Feedback on Assignment 3

Nov. 8 | Lecture 18: The GARCH Model and General Feedback on Assignment 3
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    Readings: Lecture Note 7, Section 4 and Box 1, p. 8-12 (5 pages) Readings: Lecture Note 7, Section 4 and Box 1, p. 8-12 (5 pages)
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    Video: An Introduction to GARCH Models (10 minutes) Video: An Introduction to GARCH Models (10 minutes)
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    Review Slides: 04 ARCH, Section 6, slides 24-30 (7 slides) Review Slides: 04 ARCH, Section 6, slides 24-30 (7 slides)
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    Review Quiz 4-02: The GARCH Model (5 questions) Review Quiz 4-02: The GARCH Model (5 questions)
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    Questions for Nov. 8 | Lecture 18: The GARCH Model Questions for Nov. 8 | Lecture 18: The GARCH Model
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    General Feedback on Assignment 3.pdf General Feedback on Assignment 3.pdf
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    General Feedback on Assignment 3 (Annotated).pdf General Feedback on Assignment 3 (Annotated).pdf
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Nov. 13 | Empirical Exercise 10: GARCH Model for Returns on the KFX Index

Nov. 13 | Empirical Exercise 10: GARCH Model for Returns on the KFX Index
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    Video: Estimation of GARCH Models in OxMetrics (9 minutes) Video: Estimation of GARCH Models in OxMetrics (9 minutes)
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    Empirical Exercise 4.3: GARCH Model for Returns on the Danish Stock Market Index Empirical Exercise 4.3: GARCH Model for Returns on the Danish Stock Market Index
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Nov. 14 | Lecture 19: Maximum Likelihood Estimation of ARCH Models

Nov. 14 | Lecture 19: Maximum Likelihood Estimation of ARCH Models
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    Readings: Lecture Note 7, Section 3.2, p. 7 (1 page) Readings: Lecture Note 7, Section 3.2, p. 7 (1 page)
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    Review Slides: 04 ARCH, Sections 5 and 8-9, slides 20-23 and 37-49 (17 slides) Review Slides: 04 ARCH, Sections 5 and 8-9, slides 20-23 and 37-49 (17 slides)
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    Questions for Nov. 14 | Lecture 19: Maximum Likelihood Estimation of ARCH Models Questions for Nov. 14 | Lecture 19: Maximum Likelihood Estimation of ARCH Models
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Nov. 15 | Lecture 20: GARCH Extensions, Forecasting Volatility, and Review of ARCH Models

Nov. 15 | Lecture 20: GARCH Extensions, Forecasting Volatility, and Review of ARCH Models
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    Readings: Lecture Note 7, Section 4.1-6, p. 9-16 (8 pages) Readings: Lecture Note 7, Section 4.1-6, p. 9-16 (8 pages)
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    Review Slides: 04 ARCH, Sections 6-7, slides 29-36 (8 slides) Review Slides: 04 ARCH, Sections 6-7, slides 29-36 (8 slides)
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    Review Quiz 4-03: Extensions of the GARCH Model (4 questions) Review Quiz 4-03: Extensions of the GARCH Model (4 questions)
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    Questions for Nov. 15 | Lecture 20: GARCH Extensions, Forecasting Volatility, and Review of ARCH Models Questions for Nov. 15 | Lecture 20: GARCH Extensions, Forecasting Volatility, and Review of ARCH Models
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Nov. 17 | Assignment 4: Surprise Trading Volume and Heteroskedasticity in Equity Market Returns

Nov. 17 | Assignment 4: Surprise Trading Volume and Heteroskedasticity in Equity Market Returns
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Nov. 17 | Assignment 4: Surprise Trading Volume and Heteroskedasticity in Equity Market Returns 127611  
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    Assignment 4: Surprise Trading Volume and Heteroskedasticity in Equity Market Returns Assignment 4: Surprise Trading Volume and Heteroskedasticity in Equity Market Returns
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    Assessment Criteria.pdf Assessment Criteria.pdf
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    Questions for Assignment 4: Surprise Trading Volume and Heteroskedasticity in Equity Market Returns Questions for Assignment 4: Surprise Trading Volume and Heteroskedasticity in Equity Market Returns
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Nov. 20 | Theoretical Exercise 11: GMM Estimation of a Taylor Rule

Nov. 20 | Theoretical Exercise 11: GMM Estimation of a Taylor Rule
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Nov. 20 | Theoretical Exercise 11: GMM Estimation of a Taylor Rule 128385  
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    Download and Print Problem Set #5 Download and Print Problem Set #5
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    Exercise 5.1 - Solution Guide.pdf Exercise 5.1 - Solution Guide.pdf
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Nov. 21 | Lecture 21: Generalized Method of Moments

Nov. 21 | Lecture 21: Generalized Method of Moments
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    Readings: Lecture Note 8, Sections 1-2.2, p. 1-8 (8 pages) Readings: Lecture Note 8, Sections 1-2.2, p. 1-8 (8 pages)
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    Video: An Introduction to the Generalized Method of Moments (GMM) (10 minutes) Video: An Introduction to the Generalized Method of Moments (GMM) (10 minutes)
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    Review Slides: 05 GMM, Sections 2-4, slides 7-21 (15 slides) Review Slides: 05 GMM, Sections 2-4, slides 7-21 (15 slides)
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  • Quiz
    Review Quiz 5-01: Moment Conditions and the Generalized Method of Moments (GMM) (8 Questions) Review Quiz 5-01: Moment Conditions and the Generalized Method of Moments (GMM) (8 Questions)
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    Questions for Nov. 21 | Lecture 21: Generalized Method of Moments Questions for Nov. 21 | Lecture 21: Generalized Method of Moments
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Nov. 22 | Lecture 22: Properties of the Generalized Method of Moments Estimator

Nov. 22 | Lecture 22: Properties of the Generalized Method of Moments Estimator
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    Readings: Lecture Note 8, Section 2.3 including Box 1, p. 8-11 (4 pages) Readings: Lecture Note 8, Section 2.3 including Box 1, p. 8-11 (4 pages)
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    Video: Consistency and Asymptotic Normality of the GMM Estimator (10 minutes) Video: Consistency and Asymptotic Normality of the GMM Estimator (10 minutes)
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    Review Slides: 05 GMM, Section 6, slides 31-33 (3 slides) Review Slides: 05 GMM, Section 6, slides 31-33 (3 slides)
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  • Quiz
    Review Quiz 5-02: Asymptotic Properties of the GMM Estimator (6 Questions) Review Quiz 5-02: Asymptotic Properties of the GMM Estimator (6 Questions)
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    Questions for Nov. 22 | Lecture 22: Properties of the GMM Estimator Questions for Nov. 22 | Lecture 22: Properties of the GMM Estimator
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    General Feedback on Assignment 4.pdf General Feedback on Assignment 4.pdf
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    General Feedback on Assignment 4 (Annotated).pdf General Feedback on Assignment 4 (Annotated).pdf
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Nov. 27 | Theoretical Exercise 12: GMM Estimation in a Linear Model

Nov. 27 | Theoretical Exercise 12: GMM Estimation in a Linear Model
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    Download and Print Problem Set #5-3 Download and Print Problem Set #5-3
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    Exercise 5.3 - Solution Guide.pdf Exercise 5.3 - Solution Guide.pdf
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Nov. 28 | Lecture 23: Efficient GMM and Weight Matrix Estimation

Nov. 28 | Lecture 23: Efficient GMM and Weight Matrix Estimation
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Nov. 28 | Lecture 23: Efficient GMM and Weight Matrix Estimation 128422  
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    Readings: Lecture Note 8, Sections 2.4-2.5, p. 10-16 (7 pages) Readings: Lecture Note 8, Sections 2.4-2.5, p. 10-16 (7 pages)
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    Video: The Efficient Generalized Method of Moments (GMM) Estimator (10 minutes) Video: The Efficient Generalized Method of Moments (GMM) Estimator (10 minutes)
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    Review Slides: 05 GMM, Sections 7-8, slides 34-43 (10 slides) Review Slides: 05 GMM, Sections 7-8, slides 34-43 (10 slides)
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  • Quiz
    Review Quiz 5-03: Efficient GMM and Weight Matrix Estimation (5 Questions) Review Quiz 5-03: Efficient GMM and Weight Matrix Estimation (5 Questions)
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    Questions for Nov. 28 | Lecture 23: Efficient GMM and Weight Matrix Estimation Questions for Nov. 28 | Lecture 23: Efficient GMM and Weight Matrix Estimation
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Nov. 29 | Lecture 24: Empirical Examples of GMM Estimation

Nov. 29 | Lecture 24: Empirical Examples of GMM Estimation
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    Readings: Lecture Note 8, section 4, p. 19-32 (14 pages) Readings: Lecture Note 8, section 4, p. 19-32 (14 pages)
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    Review Slides: 05 GMM, Sections 5 and 10, slides 22-30 and 46-52 (16 slides) Review Slides: 05 GMM, Sections 5 and 10, slides 22-30 and 46-52 (16 slides)
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  • Quiz
    Review Quiz 5-04: GMM Estimation of a Taylor Rule and the Consumption CAPM Model (7 Questions) Review Quiz 5-04: GMM Estimation of a Taylor Rule and the Consumption CAPM Model (7 Questions)
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    Questions for Nov. 29 | Lecture 24: Empirical Examples of GMM Estimation Questions for Nov. 29 | Lecture 24: Empirical Examples of GMM Estimation
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    MonetaryPolicyData.xls MonetaryPolicyData.xls
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Dec. 4 | Empirical Exercise 13: GMM Estimation of Monetary Policy Rules for US

Dec. 4 | Empirical Exercise 13: GMM Estimation of Monetary Policy Rules for US
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    Empirical Exercise 5.2: Monetary Policy Rules for the US Empirical Exercise 5.2: Monetary Policy Rules for the US
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Dec. 5 | Lecture 25: GMM Estimation of the Consumption CAPM Model and the GMM Estimator in a Linear Model

Dec. 5 | Lecture 25: GMM Estimation of the Consumption CAPM Model and the GMM Estimator in a Linear Model
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    Readings: Lecture Note 8, sections 3.1.1-3.1.2 and 4.4, p. 17-19 and 28-32 (8 pages) Readings: Lecture Note 8, sections 3.1.1-3.1.2 and 4.4, p. 17-19 and 28-32 (8 pages)
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    Review Slides: 05 GMM, Sections 10 and 11, slides 46-57 (12 slides) Review Slides: 05 GMM, Sections 10 and 11, slides 46-57 (12 slides)
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  • Quiz
    Review Quiz 5-04: GMM Estimation of a Taylor Rule and the Consumption CAPM Model (7 Questions) Review Quiz 5-04: GMM Estimation of a Taylor Rule and the Consumption CAPM Model (7 Questions)
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    Questions for Dec. 5 | Lecture 25: GMM Estimation of the Consumption CAPM and the GMM Estimator in a Linear Model Questions for Dec. 5 | Lecture 25: GMM Estimation of the Consumption CAPM and the GMM Estimator in a Linear Model
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    hs.xls hs.xls
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Dec. 6 | Lecture 26: The GMM Estimator in a Linear Model and Pseudo-Maximum Likelihood Estimation

Dec. 6 | Lecture 26: The GMM Estimator in a Linear Model and Pseudo-Maximum Likelihood Estimation
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Dec. 6 | Lecture 26: The GMM Estimator in a Linear Model and Pseudo-Maximum Likelihood Estimation 129150  
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    Readings: Lecture Note 8, Box 2 and section 3, p. 12 and 16-19 (5 pages) Readings: Lecture Note 8, Box 2 and section 3, p. 12 and 16-19 (5 pages)
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    Review Slides: 05 GMM, Sections 11-12, slides 53-68 (16 slides) Review Slides: 05 GMM, Sections 11-12, slides 53-68 (16 slides)
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    Questions for Dec. 6 | Lecture 26: GMM Estimator in a Linear Model Questions for Dec. 6 | Lecture 26: GMM Estimator in a Linear Model
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Dec. 8 | Assignment 5: Monetary Policy and Asset Price Volatility

Dec. 8 | Assignment 5: Monetary Policy and Asset Price Volatility
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Dec. 8 | Assignment 5: Monetary Policy and Asset Price Volatility 128784  
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    Assignment 5: Monetary Policy and Asset Price Volatility Assignment 5: Monetary Policy and Asset Price Volatility
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    Assessment Criteria.pdf Assessment Criteria.pdf
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    Tips for Writing (Annotated).pdf Tips for Writing (Annotated).pdf
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    Questions for Assignment 5: Monetary Policy and Asset Price Volatility Questions for Assignment 5: Monetary Policy and Asset Price Volatility
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Dec. 11 | Theoretical Exercises 14: GMM Estimation in a Linear Model

Dec. 11 | Theoretical Exercises 14: GMM Estimation in a Linear Model
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    Download and Print Problem Set #5 Download and Print Problem Set #5
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Dec. 12 | Lecture 27: CANCELED

Dec. 12 | Lecture 27: CANCELED
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Dec. 12 | Lecture 27: CANCELED 130138  

Dec. 13: Lecture 28: General Feedback on Assignment 5

Dec. 13: Lecture 28: General Feedback on Assignment 5
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    Questions for Final Q&A Questions for Final Q&A
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    General Feedback on Assignment 5 (Annotated).pdf General Feedback on Assignment 5 (Annotated).pdf
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