Ph.D. in
ECONOMICS
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(during the first week of the course send me an e-mail with: Title of the project, sources of the data, paper to follow, etc, etc.) (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) Some data that will be used during the course to put the theory into practice:
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| Introduction + more Nexus I (from McFadden 2000) Nexus II (Introduction Mixing) + more Stochastic Processes Examples |
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) |
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| 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 ("All models are wrong, some are useful" (Box, 1976)) Nexus I (Basic Asymptotics by Potcher and Prucha, 1999) Nexus II (notes of Guido Kuersteiner MIT) |
Concentrate this week on the empirical project!!!! MA-estimation (E-views.prg)
Confidence Intervals for the Mean: IntervalsMean.prg, MonteCarloIntervalsMean.prg |
Asymptotics
for Linear Processes Reading 2 (Phillips & Solo, 1992) Testing Autocorrelations Reading 3 (Cumby & Huizinga, 1992) Testing m.d.s Reading 4 (Escanciano & Lobato, 2007) |
| 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 5 (Comparing Forecasts) (Diebold
& Mariana, 1995) Reading 5' (Inference about Predictive Ability) (West 1996) Reading 6 (Conditional Predictive Ability) (Giacomini & White, 2006) Reading 7 (Survey Forecastin Recent Results) (Clark and McCracken, 2011) |
| 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 HMWIV
(due: Tuesday Nov 15th) |
Reading 8 (Handbook of Econometrics: Unit Roots and Breaks, Jim Stock) Reading 9 ("A Primer on Unit Root Testing") (P. Phillips and Z. Xiao, 1999) Reading 10 ("Relative power of t type tests for stationary and unit root processes") (J. Gonzalo and T.Lee, 1997) Reading 11 ("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 12 (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 GoldSilver (E-views.prg) Stock-Watson JEP2001 VARS Stock-Watson Data Set (Eviews) |
Reading
13 (VAR notes by Mark Watson) Reading 14 (Structural VAR notes by Eric Zivot) Reading 14' (Structural VAR Survey) (Lutz Killian, 2010) |
Spurious Regression and Cointegration Appendix 1: on Canonical Correlations and Reduced Rank Regressions |
HMW
V
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Reading
15 (Spurious Regression with I(0)) (Granger, Hyung and Jeon, 1998) Reading 16 (Handbook of Econometrics: VARs and Cointegration, Mark Watson) Reading 17 ("Five Alternative Methods of Estimating Long-RunRelationships") (J. Gonzalo, 1995) Reading 18 ("Pitfalls on Testing Long-Run Relationships") (J. Gonzalo and T.Lee, 1998) |
| Cointegration
and Common Factors + Lecture Notes |
(Andrew Buck- Temple University)
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Reading
19 (A companion to Theoretical Econometrics: Cointegration, Dolado,
Gonzalo and Marmol) Reading 20 ("Common Long-memory Components") (J. Gonzalo and C.Granger, 1996) |
FINAL
PROJECT
(to be presented the week before the final exam) FINAL EXAM (a Take-Home Exam) |