Econ 8375 - Econometrics II

 

Syllabus

Fall 2018. Section 01, R 4:40 p.m. - 7:10 p.m. PDF

Stata

You can use the GradPlan to buy Stata at a reduced price. Follow the link here.

 

Class Handouts

	Main File
	Contents
	All Chapters
Chapter 1	Introduction
Chapter 2	Difference Equations
Chapter 3	Autoregressive and Moving Average Models, Stationarity, ARIMA Models
Chapter 4	Autocorrelation, Partial Autocorrelation Functions and Box-Jenkins	employment
Chapter 5	Modeling Volatility: ARCH, GARCH, ARCH-M GARCH-DCC	airlines rgdp
Chapter 6	Trends and Unit Roots, Dickey Fuller and Augmented Dickey Fuller Tests
Chapter 7	Intervention Analysis and Transfer Function Models
Chapter 8	Vector Autogregression, Impulse Response Functions and Variance Decompositions
Chapter 9	Cointegration and Error-Correction Models
Chapter 10	Nonlinear Time Series Models	lstar
Chapter 11	Dynamic Panels

 

Assignments

You can hand in your assignment anytime before the due date.

	Main File	Supporting File	Due date
Assignment 2	PDF	do file star	December 10

 

Presentations

Paper presentations should be scheduled for 30 minutes.

Topic	Presenter	Paper	Date
Autocorrelations and Partial Autocorrelations	Md Noman	Paper 1:Time-series properties and predictive-ability results Paper 2:Political parties and macroeconomic policy	September 27
Garch	Kelvin	Demand uncertainty and capacity utilization in airlines	October 11
Unit root	Abdullah	Identifying price bubble periods in the energy sector	October 25
Cointegration	Daniel	Long-run equilibrium shift and short-run dynamics of U.S. home price tiers during the housing bubble	November 8
Nonlinear	Ruhul	Business-cycle phases and their transitional dynamics	November 15
Nonlinear	Jian	Asymmetric price adjustments in airlines	November 15

 

Mock Exam

	Main File
Mock Exam 1	PDF

 

Identification Problem I

Identification Problem II

Scientific Rigor