Ph.D. in ECONOMICS
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| Introduction
Nexus (from McFadden 2000) |
Graphical-Examples
HMW I (due October 21) |
Reading
1 (Ergodicity)
(from Breiman (1969) "Probability and Stochastic Processes: With a View Toward Applications") |
| Arma
Models
Nexus I, Nexus II (notes of Guido Kuersteiner MIT) |
Applets for Arma processes | Reading 2 ( Identification of Arma models) (Hannan (79)) |
| Forecasting
I,
Forecasting II Notes in Class (from Granger-Newbold (1976)) Nexus(notes of Herman Bierens) |
Forecasting with E-views HMWII (due November 6th) | Reading 3 (Forecast Evaluation) (Diebold & Lopez, 1995) |
| Estimation and Inference
Model Selection (notes in class) Nexus (notes of Guido Kuersteiner MIT) |
Reading 3A (Phillips & Solo, 1992) |
| The
Land of Unit Roots
Graphs1 Graphs2 Nexus(Notes of Herman Bierens on Unit Roots) |
Applets on:
Brownian Motion I Brownian Motion II Brownian Motion III Brownian Motion IV HMWIII (due November 27th) |
Reading
4 (D.S. Pollock on Trends)
Reading 5 (Handbook of Econometrics, Jim Stock) |
| VAR
Models
Nexus I (notes of Chris Sims on VARs) Nexus II (notes of Guido Kuersteiner on VARs) |
VAR Models with E-Views | Reading
6 (VAR notes by Mark Watson)
Reading 7 (Structural VAR notes by Eric Zivot) |
| Spurious
Regression and Cointegration
Nexus I (Handbook of Econometrics, Mark Watson) Nexus II (Journal of Econometrics, Jesús Gonzalo) |
Examples of Spurious Regression |
Reading
8 (Spurious Regression in Finance)
Reading 9 (Spurious Regression with I(0)) |
| Cointegration
and Common Factors
+ Class-notes Nexus
(JBES 1995, jesús gonmzalo and Clive Granger)
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Cointegration-Examples
(Andrew Buck- Temple University) Cointegration with E-Views |
Reading 10 (Cointegration by Dolado, Gonzalo and Marmol) |