applied econometrics - economics | business school
TRANSCRIPT
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APPLIED ECONOMETRICS
James Morley
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COURSE OUTLINE
• Time Series
• Basic Models
• Inference
• Forecasting
• Structural Analysis
• Advanced Models
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PART I: “TIME SERIES”
OUTLINE
•Macroeconomic Data
• Serial Correlation
• Trends and Breaks
•Methodology
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READINGS AND MATERIALS
• Stock and Watson, C. 12
• Hansen, JEP
• Hoover, Ch.5
• Sims, JEP
• EViews and GAUSS lite
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TIME SERIES?
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TIME SERIES?
• collection of observations for a variable (e.g., aggregate output) over time
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MACRO DATA
• Aggregate (Normality)
• FRED, BEA, SourceOECD, ABS
• Literature focuses on US data
• Look at the data!!
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KEY SERIES (I)
• Real GDP, Components, Population
• Inflation (GDP Deflator, PCE Deflator, CPI)
• Unemployment Rate
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KEY SERIES (II)
•Deficits/Debt
• Interest Rates
• Exchange Rates
• Stock Returns
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DATA ISSUES
• Seasonality
• Revisions
•Measurement Error
• Chain Weighting
• Frequency
• Serial Correlation
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SERIAL CORRELATION
• persistence in time series
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WHY DOES SERIAL CORRELATION MATTER?
• less independent information
•more potential for forecasting
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