Ph.D. in ECONOMICS-UPF
2007
|
|
|
|
| Introduction + more Nexus I (from McFadden 2000) Nexus II (Introduction Mixing) + more 30m
|
Graphical-Examples
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] |
Reading
1 (Ergodicity) (from Breiman (1969) "Probability and Stochastic Processes: With a View Toward Applications") |
| 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) 3h
|
Applets on:
Brownian Motion I Brownian Motion II Brownian Motion III Brownian Motion IV DF-TEST Program Break Program |
Reading
2 (Handbook of Econometrics: Unit Roots and Breaks, Jim Stock) Reading 3 ("Relative power of t type tests for stationary and unit root processes") (J. Gonzalo and T.Lee, 1997) |
| VAR
Models Nexus I (notes of Chris Sims on VARs) Nexus II (notes of Guido Kuersteiner on VARs) |
VAR Models with E-Views | Reading
4 (VAR notes by Mark Watson)
Reading 5 (Structural VAR notes by Eric Zivot) |
Brief Introduction to Structural Breaks 30m |
Reading
6 (Structural Breaks by Pierre Perron) |
|
| Spurious
Regression and Cointegration Appendix 1: on Canonical Correlations and Reduced Rank Regressions 4h
|
Examples of Spurious Regression Spurious Regression Program Cointegration Program Engle-Granger Program |
Reading 7 (Spurious Regression with I(0)) (Granger, Hyung and Jeon, 1998) Reading 8 (Handbook of Econometrics: VARs and Cointegration, Mark Watson) Reading 9 ("Five Alternative Methods of Estimating Long-RunRelationships") (J. Gonzalo, 1995) Reading 10 ("Pitfalls on Testing Long-Run Relationships") (J. Gonzalo and T.Lee, 1998) |
| Cointegration
and Common Factors + Class-notes + Application: Price Discovery and Cointegration 3h
|
(Andrew Buck- Temple University)
|
Reading
11 (A companion to Theoretical Econometrics: Cointegration, Dolado,
Gonzalo and Marmol) Reading 12 ("Common Long-memory Components") (J. Gonzalo and C.Granger, 1996) |