Messages
Claudia's lecture tomorrow finalizes the formal teaching in our course. However, as I said in the two seminars last week, you can contact me anytime between now and Exam Day. I will try to answer all questions (bar the exam text!).
Best of luck with your exams this semester!
R
This Monday Claudia will lecture on Structural VAR modelling. SVARs are extremely important in modern econometric time series modelling. As you will learn, the identification issue is one common theme for SVARs and SEMs, and (even more clearly) for recursive models of the reduced form VAR.
Remember that we also have seminars this week.
R
Hi,
The slide set for CC#6 is now uploaded! We will use (some of) the same data sets we looked at last time.
See you in the morning!
-A-“
We will complete the cointegration theory from last week. Expect to have time to talk about the main points connected to the Lucas-critique and its relationship to super exogeneity and invariance in the Lecture 11 slide set. The NPC stuff is more for reference, if you become interested in looking into this in your own work later.
R
The slides to Lecture 10 today have been posted. No doubt, this will take up a chunk of Lecure 11 as well....
R
Dear all,
I've uploaded the data, batch files and the slides for the next CC.
See you on Friday,
-Dre-
Slide set and a useful reference (also for Lecture 10 and 11) out.
R
Dear all,
The slide set, as well as data sets and batch files for the next CC are now uploaded.
See you on Friday,
Andre
typo: "LC" should be "LCP" (and we used KonsData2Nor.in7 as in Seminar 3)
R
On slide 16 the three condtions on the AR(2) parameters suffered from wrong signs on the parameres (systematic). Now corrected. Thanks to Even for telling me!
R
Note that Tone Enger has posted the obligatory seminar 4 exercise together with absolutely essential practical information!
Good luck!
(Don't worry that the question about US housing price and rent from Seminar 3 is not included. I omitted it at the last minute in order to avoid a very long question set!. We will do it first thing in Seminar 5 instead!!!)
Ragnar
I have uploaded the slide set for tomorrow, along with zip-files and a batch file that we will use at the CC tomorrow.
See you tomorrow morning :)
-A-
Lecture 6 is mainly about Exogenity (we are lagging a little behind the plan, but not very much).
Also posted Lecture Note 4 and 5. (# 4 is about the model typology that builds on the ADL model, and # 5 is more about exogenity).
Ragnar
I have posted a short "review of Lecture 5" exercise (with answer to the first question).
Also Lecture note number 3, which gives the argument for VAR --> ADL in more detail than in the slides to Lecture 5. Be sure to study also § 14.1 in HN carefully, since it gives the argument directely in terms of the likelihood function of the VAR and derives the partial likelihood function associated with the ADL model
The exercise set to Seminar 3 has also been posted.
Ragnar
The compulsory term paper will be published on Wednesday 1 October 2014, with deadline one week later - on Wednesday 8 October. The text will be posted on the course web page, but your solutions must be submitted in Fronter.
Hi everyone!
have uploaded the slide set for CC#2! As you'll se, we'll wrap up some stuff from last time before we start on some new topics!
See you on Friday in the morning!
-Andre-
Have now been posted---sorry for the delay!
Ragnar
I have posted a zip file with the data and a batch file With NLS estimation. Run that batch file first. Then you also have the data for the OLS estimation (Note: Choose Models for time series in stead of Othe modele (which is where NLS is.)'
Ragnar
To follow up today's CC I suggest you read Ch. 9 in Hendry and Nielsen, possibly toghether With my note about mis-specification tests (just posted under CC). And of course: It is all in the PcGive book (vol 1) as well!
The slide set to Lecture 2 on Monday has been posted. The slides to Lecture 3 on Friday afternoon will follow....next week.
The first CC is also on Friday, but in the morning. I have added a short "Introduction to Oxmetrics/PcGive", but you also have three books/manuals in pdf-format. Start with the Oxmetrics volume and you will be expert user in just a little while.
Finally: The exercise set to the first seminar has been posted; Enjoy!
RNy