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Does Everything Grow?
It Seems So:
USTrendsPopulation USTrendsGovCrimeTransport USTrendsMoneyPolitics USTrendsEducationReligion USTrendsBusinessCommunication USTrendsLeisureHealth USTrendsWork [From "The First Measured Century" by T. Caplow, L. Hicks and B. Watenberg, PBS 2001] Some data that will be used during the course to put the theory into practice:
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| Introduction Stochastic Processes Examples 1h
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Reading
1 (Ergodicity)
(from Breiman (1969) "Probability and Stochastic Processes: With a View Toward Applications") |
| The
Land of Unit Roots Graphs1 Graphs2 Nexus(A Testing Strategy from Enders (1995)). Brief Introduction to Structural Breaks 2h
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Without JAVA de above Applets do not work. Here you have a great web page with many interesting stuff. ShillerYearlyData.WF1 |
Reading 2 (Handbook of Econometrics, Jim Stock) |
| VAR Models | Reading
3 (VAR notes by Mark Watson)
Reading 4 (Structural VAR notes by Eric Zivot) |
| Spurious
Regression and Cointegration Nexus(Journal of Econometrics (1994), Jesús Gonzalo) 4h
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Reading
5(Spurious Regression with I(0))
Reading
6 (Cointegration by Dolado, Gonzalo and Marmol)
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| Cointegration
and Common Factors Nexus (JBES 1995, Jesús Gonzalo and Clive Granger) 2h
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Cointegration Examples
(Andrew Buck- Temple University)
Cointegration
with E-ViewsEngle-Granger Program |
Reading
7 (Explaining Cointegration Analysis I by Hendry and Juselius)
Reading 8 (Explaining Cointegration Analysis II by Hendry and Juselius) |
| Some
Applications
of Cointegration Analysis:
1h |
* Present
Value Models and Cointegration (Campbell and Shiller, 1987) , Data
* Arbitrage-Cointegration (Brenner and Kronner, 1995) * Price Discovery (Harris, McInish and Wood, 2000) * PPP Puzzle (Rogoff, 1996) * Real Exchange Rate (Lothian and Taylor 1996) |