ECON4160 - Econometrics - Modeling and Systems Estimation

Semester page for ECON4160 - Autumn 2017

Teachers

Fronter

This course uses the learning platform Fronter.

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Interested in work on a model project?

If you are be interested in for example 14 days work, mainly working with building up  new data-input framework for one of Statistics Norway's operstional models, contact me with a mail, or at the office.

 

Ragnar N   

Dec. 11, 2017 7:57 PM
Final words

It has been a pleasure working with you during a very hectic autumn semester.

As I said in the last lecture, one good advice for what to review is:Seminar exercises, not forgetting the obligatory assignement, and past exams (all of which are relevant, but I think that you can make a sensible “ordering” in the light what we have been working with).   

Some of you have asked about answer suggestions to the postponed exam in 2016, which is not on the Department's official pages.

I have found an annotated (“kommentert”) version on my system, which is not very “clean”, but which should be of help , for example when it comes to Exercise C (which by the way is inspired by an example in Engle's and Granger's famous Econometrica paper (top notch!) so that you pride yourself at being at very high level here !). 

To save time, I have posted it directly on the semester page (last posting in the Seminars section).

Ragnar

Nov. 24, 2017 9:18 AM
Lecture 13

The time has come for the last lecture.

Today I will finish cointegration (Lect 11+12 slide), with an emphasis on the very important point about doing a valid statistical test of the null hypothesis of absence of cointegration (avoid the pitfall of spurious regression), and within that topic I will focus on the simplest case of a single cointegration vector.

Then a few remarks about multiple cointegration (identification and a super quick look at the practical side of testing rank > 1 in the program).

After that I will answer questions.

If there is time left, I will then mention a hew highlights from the theory and practice of forecasting economic time series. (Lecture 13 slide set).

Ragnar

Nov. 23, 2017 10:08 AM
Seminar 6

We train on 2015 exam question set.

Herman and Raganr

Nov. 13, 2017 1:44 PM
Seminar 5 notes

Since there was a lot of algebra in parts of Seminar 5, and not much time, we have prepared some answer notes that hopefully can be an aid when you review this.

R

Nov. 9, 2017 10:04 AM
Lecture 11 and 12

Just posted slide set about cointegration  for lect 11 and 12. 

Today we will do a litte more of ADF (agumented Dickey-Fuller) testing of the unit root hypothesis, before moving on to cointegration theory.

R

Nov. 9, 2017 8:54 AM
CC 6 on Monday

1. Demonstrate SVAR and recursive model for the Fulton data

2. Show equivalence of GIVE and 2SLS (for the Fulton data)

3. Practice testing the unit-root hypthesis. Reference will then be last part of  Lecture 10/11 slide set..

R

 

Nov. 3, 2017 5:41 PM
Lecture 10

After super-brief remark about recursive models being equivalent to Cholesky decomposition of VAR residuals (Lecture 9), we will start doing non stationary econometrics. 

Rember that we have been placed in Aud 4 tomorrow (don't go on a Random Walk)

R 

Nov. 1, 2017 12:02 PM
Seminar 5

exercise is now out.

R

Oct. 29, 2017 10:49 PM
Individual comments on your term papers!

Hi all

I worked long and hard to give you all individual comments, so you should learn how to access them:

Go to Fronter and enter the folder where you handed in your term paper (It is in your seminar room under "Innlevering")

Next to your file (your .zip if you handed in as .zip, or on your .pdf or .docx if you used those formats), there is a small downward-pointing arrow. Click that one, and you will get a small menu. On the bottom of the menu, there is an option called "Kommentar" - click that one.

You should be redirected to a new page, where you will find an empty comment section and it says "approved". There is another file there, which has the same name as your hand-in with the extension _corrected (or _rettet if you wrote in Norwegian). That is a commented version of your term paper that you should definitely look at. 

 

Herman.

Oct. 27, 2017 11:24 AM
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