Ph.D. in
ECONOMICS
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(By October 17th you should upload in Aula Global a one page PDF with your name, name of the selected country, frequency and sample of the data + plots of your 3 variables) Some links to Economic Data FRED (it is great) IFS (database from the IMF) TRY Google Dataset search (version beta) 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 sets in Eviews that will be used during the course to take the theory into action!!!:
Eviews (free student version and
tutorials)
E-Views from Aula Virtual (for UC3M students) Entering Aula Virtual Matlab Instalation (UC3M students) Frank
Diebold's books:
Econometrics (undergrad) Forecasting (undergrad) Time Series Econometrics (MA-PhD) |
| Introduction
(try this version Basic Concepts)
+ more Nexus I (from McFadden 2000) Nexus II (Introduction Mixing) + more Stochastic Processes Examples |
Useful
Graphs for Teaching (from Charles Jones)
Empirical Project 0: One page (pdf) plot of the variables inflation, interest rates and unemployment of the chosen country. In this sheet write your name, country, sample, frequency, etc. (due: Tuesday 15th October at night) |
Reading
1 (Ergodicity) (from Breiman (1969) "Probability and Stochastic Processes: With a View Toward Applications") Ergodic Theorem (E-views.prg) (Mean temporal of an ergodic process (causal AR1 converges to the ensemble mean. This does not happen if the process is non-ergodic (random walk)) [Use GPT-Chat or Perplexity or Google Bard to generate 1000 random walks with n=1000, and plot the density of the 1000 averages in Python and execute that in Spider, Jupiter or Google Colab, etc.] [Compare this result with the case of an AR(1) with phi=.5] |
| 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 (try this version Estimation and Inference) + Lecture Notes on Model Selection (try this version Model Selection via IC) ("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) |
Focus this week on the empirical project!!!! MA-estimation
(E-views.prg)
Confidence Intervals for the Mean: IntervalsMean.prg, MonteCarloIntervalsMean.prg Confidendce
Intervals for PHI1 of an AR(1) (correctly
specified and misspecified):
AR-estimation.prg
Comparison between "usual" sd errors and robust HAC HAC.prg infomodelo.docx infomodelo.prg (sorry some of the code is in Spanish) |
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 (try this version Forecasting) (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 Forecasting Recent Results) (Clark and McCracken, 2011) |
| The
Land
of Unit Roots (try this version The Land of Unit Roots (still some typos ehhh)) Appendix 0 on BMotion Appendix 1 on FCLT Appendix 2 on FCLT Graphs1 Graphs2 Nexus (Notes of Herman Bierens on Unit Roots) Extra Notes: IntroURTrends (Vanessa Berenguer) Trends (Vanessa Berenguer) URoots (Vanessa Berenguer) |
Applets on: HMWIV
(due: Thursday 12th December) |
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 (try this version VAR Models (still some typos ehh)) Nexus I (notes of Chris Sims on VARs) Nexus II (notes of Guido Kuersteiner on VARs) Structural VAR Eviews (S. Ouliaris, A.Pagan and J. Restreoi) Local Projections (O. Jorda) |
VAR
Models
with E-Views GoldSilver (E-views.prg) Stock-Watson JEP2001 VARS Stock-Watson Data Set (Eviews) Stock-Watson Updated Data Set (Eviews) A BOOK on how to do it in Eviews (Quantitative Macroeconomic Modeling with Structural Vector Autoregressions – An EViews Implementation S. Ouliaris1 , A.R. Pagan2 and J. Restrepo3) |
Reading
13 (VAR notes by Mark Watson)
Reading 13' (Structural VAR Survey) (Lutz Killian, 2010) Reading 14 (Shocks) (Valery Ramey |
Spurious Regression and Cointegration (single equation approach) Cointegration Plus (system equation approach) Appendix 1: on Canonical Correlations and Reduced Rank Regressions Extra Notes: Spurious Regression (Vanessa Berenguer) Cointegration (Vanessa Berenguer) |
Spurious Regression Simulations (E-Views.prg) 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 (see Gonzalo-Granger) + Lecture Notes |
(Andrew Buck- Temple University)
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Reading
19 (A companion to Theoretical Econometrics:
Cointegration, by Dolado, Gonzalo and Marmol) Reading 20 ("Common Long-memory Components") (J. Gonzalo and C.Granger, 1996) |
FINAL PROJECT
(to be handled in the day of the final exam) FINAL EXAM (some Take-Home questions + a 2 hours exam in class) |
In the Empirical Project extra credit by an original production: (i) Try to Create your own ICriteria (ii) Try to Create your own shock identification scheme (iii) ..... |