Ph.D. in ECONOMICS
UPF and BGSE
|
|
|
(List of Economic Indicators) and to have some fun before the course starts go to http://vimeo.com/852635 (see if by the end of the course you can write a song about your empirical project) |
| Introduction + more Nexus I (from McFadden 2000) Nexus II (Introduction Mixing) + more StochasticProcessesExamples |
Reading
1 (Ergodicity) (from Breiman (1969) "Probability and Stochastic Processes: With a View Toward Applications") |
| ARMA Processes
Chapters 3 of Brockwell and Davis (1991) and Wei (1989) + Wold's decomposition from Brockwell and Davis (1991) ARMA Processes ARMA Models (from Wei's book) Nexus I, Nexus II (notes of Guido Kuersteiner MIT) |
|
Reading 2 ( Identification of Arma models) (Hannan (79)) |
| Estimation
and Inference Model Selection (notes in class) Chapters 6-7-8 of Brockwell and Davis (1991) + Lecture Notes on Martingale Theory + Lecture Notes on Estimation-Inference + Lecture Notes on Model Selection Nexus I (Basic Asymptotics by Potcher and Prucha, 1999) Nexus II (notes of Guido Kuersteiner MIT) |
Asymptotics
for Linear Processes Reading 3 (Phillips & Solo, 1992) |
| Forecasting Chapters 5 of Brockwell and Davis (1991) and of Wei (1989)+ Lecture Notes on Forecasting Theory (with a bit of LRVariance estimation) + Forecasting (From Wei's book) + Forecasting I, (master-level) + Forecasting II (master-level) Nexus(notes of Herman Bierens) |
Reading 4 (Forecast Evaluation) (Diebold & Lopez, 1995) |
| The
Land of Unit Roots Appendix 0 on BMotion Appendix 1 on FCLT Appendix 2 on FCLT Graphs1 Graphs2 Nexus(Notes of Herman Bierens on Unit Roots) |
Applets on: Brownian Motion I Brownian Motion II Brownian Motion III Brownian Motion IV |
Reading
5 (Handbook of Econometrics: Unit Roots and Breaks, Jim Stock) Reading 6 ("Relative power of t type tests for stationary and unit root processes") (J. Gonzalo and T.Lee, 1997) Reading 7 ("On the Exact Moments of Asymptotic Distributions in an Unstable AR(1) with Dependent Errors), (J. Gonzalo and J. Pitarakis, 1998) |
Brief Introduction to Structural Breaks |
Reading 8 (Structural Breaks by Pierre Perron) |
| VAR
Models Nexus I (notes of Chris Sims on VARs) Nexus II (notes of Guido Kuersteiner on VARs) |
VAR Models with E-Views | Reading
9 (VAR notes by Mark Watson) Reading 10 (Structural VAR notes by Eric Zivot) |
Spurious Regression and Cointegration Appendix 1: on Canonical Correlations and Reduced Rank Regressions |
|
Reading
11 (Spurious Regression with I(0)) (Granger, Hyung and Jeon, 1998) Reading 12 (Handbook of Econometrics: VARs and Cointegration, Mark Watson) Reading 13 ("Five Alternative Methods of Estimating Long-RunRelationships") (J. Gonzalo, 1995) Reading 14 ("Pitfalls on Testing Long-Run Relationships") (J. Gonzalo and T.Lee, 1998) |
| Cointegration
and Common Factors Some Applications: Price Discovery + Lecture Notes |
(Andrew Buck- Temple University)
|
Reading
15 (A companion to Theoretical Econometrics: Cointegration, Dolado,
Gonzalo and Marmol) Reading 16 ("Common Long-memory Components") (J. Gonzalo and C.Granger, 1996) |
FINAL
PROJECT
(to be presented during the last week of the course) |