Messages
Exercises to Seminar 6 (May 4) have been posted. Also, a note on NPC solution (under lecture notes) RN
Slide to Lecture 13 (28 March has been posted) Exercise to seminar 6 (May 4) will soon be posted!
Today's lecture slides have been posted (RN)
A solution proposal to today's seminar (number 5 of 6) has been posted. (RN)
The exercise set to Seminar 5 (Wed 6 April) has been posted (RN)
There was a typo in the time subscript on Delta x in the first exercise. Should be t, not t-1. Now corrected.
I have posted a Lecture note about The Engle-Granger Representation Theorem for Cointegrated Variables, that I will refer to in the lecture on Thursday 31/3 (RN)
A slide set for lecture 9 (Wednesday 30 March) has been posted (RN).
NOTE: As mentioned, there will be an x-tra lecture:
Wed 30/3, 12:15-14, Room 101, ground floor of Harriet Holters Hus (just beside Eilert Sundts Hus).
The lecture plan has been revised accordingly (RN)
If you want to check out Lucas' paper, a pdf is available together with the other "stuff" to seminar 4. (RN)
The exercises to next week seminar (the fourth) have finally been posted (and data, and a link to Prob Approach). RNy
I have posted three batch files that show examples of different ways of modelling the VAR (suicide example). They build on the Lecture 7 suicide.fl file (which also has been updated). Note that the data set is posted just below the Lecture 7 batch file.
I have posted a slide set for Lecture 8 (Exogeneity) and a brief lecture note on the Lucas critique (RN)
I have posted a batch file and data file for the VAR example that we started to develop in the lecture last week (10 march), RNy
A slide set for today's lecture (#7) has been posted.
Files after today's seminar have been posted (updated for US NPC)
Seminar 3: A solution proposal by Thomas and Joakim has been posted. Also a zip files with associated data and program files. (Note that although the program files are Eviews prg files, they are readable in any editor, and should be of great help when you to the same in Oxmetrics (see also the Oxmetrics batch file posted after last weeks lecture)).
I have posted slides and a Lecture note for the 3 March lecture. The questions for the Seminar on 9 March will be posted after the lecture tomorrow (together with a data set) (RNy)
Revised lecture note: A student informed me of some misprints in LN 5(EB). A revised version is posted. Should you find more misprints or unclear points in the six LNs now posted, please inform me (EB).
1. To Seminar 2 question 3c: Have posted batch files "behind" the graph that showed the adaptive capability of the LT forecasts, and the complete lack of adaptation of the GT forecasts. And a better graph.
2. If you want to estimate ARMA models outside ARFIMA, you can do that in the Non-Linear part of PcGive. More transparent perhaps? I have posted a batch file that estimates an ARMA(2,2) on our data, which should be easy to adapt if you want.
Seminar set 2: In question 3 c: Most interesting to forecast the variable Y=ln(BNPcap), not Delta Y !
Lecture 5, February 17: We will finish discussion of Topic 3. Extended and corrected versions of Lecture notes LN 5(EB) and LN 6(EB) are posted. Other recommended readings: Davidson & MacKinnon: Sections 9.4, 10.5 and 10.6.(EB). Reminder: No lecture February 24. (EB)
Lecture note LN 6(EB), related to topic 3, is posted om the web. Part A will be referred to in Lecture 4 (February 10), Part B will be referred to in Lecture 5 (February 17).
Exercises to second seminar posted (RNy)