Messages
Some of you work with the Postponed 2015 exam, which is commendable (the work I mean). Under "Seminars" I have hust posted a few points that I have discussed with those who have asked about Question B.
R
At least Lecture 13 is not on a Friday, but tomorrow which is both a Thursday an one month before Jul (so there you have two pagan norse words thrown into the bargain).
R
I seem to have forgotten to post the annotated version of the obligatory assignment.
But is now out.
Ragnar
Please click at this link and fill in the form:
New slide set. Defining the CI-VAR and drawing the link to SVAR.
r
With the precidency of USA taking a Random Walk, it seems only fitting to train on unit root testing. But Trump was obviously cointegrated with the electorate, so will try our hand at that as well (cointegation I mean).
I have control over 2013 and 2014 exams. The answer suggestions to those two will be posted by the department admin asap.
Ragnar
Today, we look at how we can test for unit-root "in" a single time series variable. Then we will begin to study unit-roots in a system of variables, co-integration in particular.
R
For reference: The batch of the system and the identified model that we ended the CC with.
R
We'll start with the posted CC5 exercise.
RNy
Hi all!
You can now open Fronter and find the folder where you handed in your term papers. I have given some comments to everyone, and you can find them by clicking the menu button right next to your hand-in (a small downward pointing arrow) and click on "Comments" in the drop-down menu. Your main document should be there with a _corrected extension. That file contains my comments.
Do not forget the "run-through" with Ragnar on Thursday!
Herman
Slides and new exercise set have been posted.
I've decided to spend a more time on IV-GIV-2SLS, and all that.
But we will get to the non-stationarity as well. Lecture 9 at the latest. I am sure you can't wait!
R
Hi all!
The seminar that used to be planned for October 19 (next week) has been terminated for both seminar groups. Instead, there will be an extra seminar October 27 from 14:15-16:00 in Auditorium 7. We will go through the obligatory term paper during those hours.
Best,
Ragnar and Herman
Welcome back to the surface after your obligatory deep-dive!
I have posted Lecture note 5 about the Lucas-critique that was mentioned at the end of Lecture 6.
And Lecture 7 slide set which is about identification of SEMs. It will also be used for CC4.
R
Hi all!
As Oxmetrics states when you solve it, the T is supposed to be T=147 and not T=142 as the problem states. We're sorry for the confusion!
Ragnar and Herman
Hi all
For those of you who use LaTeX to write your obligatory assignment, there's a way to automatically get the output in OxMetrics to LaTeX format:
After estimation, stay in the results window and click "Test". From test click "Further output..." then "Write model results" and tick the box for "LaTeX format". The results window should then report TeX-code that you can copy and paste directly into your .tex-file (using for example TeXworks, LyX or the web-application https://www.sharelatex.com/ )
Herman
PS: It is perfectly fine to write your obligatory assignment in Microsoft Word or any other text-document software. I do, however, encourage you to make an effort to write it on a computer, even if I do accept hand-written solutions too.
In case you wondered: in Q1 and Q2," LC" refers to the variable "LCP" in the data set,
Ragnar
usual place.
Program;
1. Go back to exogeneity lecture and show example of test of weak exogeneity, and testing of super exogeneity. We will use the PCM model, (The data set has been here on the web page for a long time)
2. Using the same data: another example of Delta method: This time for slope of long-run PCM.
3. Go through the posted Lecture Note about single equation Model Typology
4. Go back to Monday's lecture and talk a little bit more about Autometrics and regime-switching
r
Thursday 29. Starts at 14: 15.
Usual place.
rmy
The plan with seminars and CC number 3 on Wednesday 28 was never going to work.out well...
So: Have moved the CC to Thursday 29. Could become the perfect warm-up to the obligatory!
Monday. Will continue with exogenity and then talk a little about semi automatic Gets modelling (Lecture 6)
Ragnar
DIY answers to Lect 4 slide set. A quite important Lecture Note number 4 that presents a typology for single equation dynamic models.
And the exercise set for Seminar 3
R
I have added the time series data set that Henry and Nielsen introduce in Ch 12.
See "Data and Software" section at the start of the book. It is data set 4, and the text in the Ch 12.
R
I think you showed excellent attitude during computer class on Wednesday. Digging into coding and all ! Keep at it !
A new Lecture Note (number 3) is out. The most important section there is:
"The ADL model derived from a Gaussian VAR"
And a slide set labelled Lecture 5.
And, be prepared for seminars on Wednesday.
Have a nice week-end, and may you enjoy 3 points as long as it is not on my expense!
Ragnar