ADVANCED ECONOMETRICS I
(TIME SERIES ANALYSIS)
ARE YOU READyyyyyyyyyyyyyyy????

Ph.D. in ECONOMICS

Syllabus

Course Project
(By November 8th 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 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

HMW I 
(due: Thursday November 4th)
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)
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

HMW II
(due: Thursday November 11th and 18th)

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!!!!

HMW III
(due: Thursday November 25th and December 2nd)

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
 

Information Criteria (AR) for an AR ICAR.prg

Information Criteria (AR) for a MA ICMA.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:


             ShillerYearlyData.WF1
HMWIV  
(due: Thursday 10th 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 
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)

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 one section has to be original production:
(i) Try to Create your own ICriteria
(ii) Try to Create your own shock identification scheme
(iii) .....