will there be jobs for all of us financial econometricians? ben kallo ben kallo james katavolos...
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Will There Be Jobs For All of Us Will There Be Jobs For All of Us Financial Econometricians? Financial Econometricians?
Ben KalloBen Kallo James Katavolos James Katavolos Luke PanzarLuke Panzar Ryan CarlRyan Carl
Let’s look at Financial Jobs in Let’s look at Financial Jobs in the U.S. Economythe U.S. Economy
Data gathered from the St.Louis Federal Data gathered from the St.Louis Federal ReserveReserve
Also includes jobs in the real estate and Also includes jobs in the real estate and insurance fields insurance fields
Monthly Data from 1946 to 2003Monthly Data from 1946 to 2003
Objective of ModelObjective of Model
Using a time-series model, we Using a time-series model, we should be able to forecast the trend should be able to forecast the trend of jobs in the finance industry for of jobs in the finance industry for at least the next six months.at least the next six months.
Dickey-Fuller Test for FINJOBSDickey-Fuller Test for FINJOBS
ADF stat confirms the presence of an evolutionary times series
Mission: StationarityMission: Stationarity
In order to make the series stationary (not In order to make the series stationary (not dependent on time), we will perform a dependent on time), we will perform a logarithmic transformation as well as logarithmic transformation as well as difference the series. difference the series.
The new data set will be called:The new data set will be called:
DLNFINJOBSDLNFINJOBS
DLNFINJOBSDLNFINJOBS
The economic interpretation of The economic interpretation of DLNFINJOBS is the month over DLNFINJOBS is the month over month percentage change in the month percentage change in the number of jobs in the finance number of jobs in the finance industry in the United States.industry in the United States.
Correlogram of DLNFINJOBSCorrelogram of DLNFINJOBS
The structure in the ACF and the spike at lag 1 of the PACF suggest that we should use an ARONE model
Histogram of DLNFINJOBSHistogram of DLNFINJOBS
0
40
80
120
160
-0.015 -0.010 -0.005 0.000 0.005 0.010 0.015
Series: DLNFINJOBSSample 1946:03 2003:03Observations 685
Mean 0.002308Median 0.002320Maximum 0.014779Minimum -0.016935Std. Dev. 0.002188Skewness -0.477327Kurtosis 13.42719
Jarque-Bera 3129.241Probability 0.000000
CorrelogramCorrelogram
This new model only This new model only seems to create more seems to create more structure, with spikes structure, with spikes at lags 4,5, 10,11,13at lags 4,5, 10,11,13
Correlogram of Squared ResidualsCorrelogram of Squared Residuals
To see whether a ARCH-GARCH model is appropriate
After running an ARCH-GARCH, the model did not improve
Now try: AR1,MA1,MA13Now try: AR1,MA1,MA13
Again, this new model Again, this new model seems to add structureseems to add structure
Final Conclusion:Final Conclusion:
Our best model is our Our best model is our original one:original one:
AR1,MA1AR1,MA1
Total Jobs in the Finance IndustryTotal Jobs in the Finance Industry 2003:042003:04 0.001130 0.001130 2003:052003:05 0.000932 0.000932 2003:062003:06 0.000896 0.000896 2003:072003:07 0.000817 0.000817 2003:082003:08 0.000783 0.000783 2003:092003:09 0.000751 0.000751 2003:102003:10 0.000720 0.000720 2003:112003:11 0.000690 0.000690 2003:122003:12 0.000662 0.000662 2004:012004:01 0.000634 0.000634
Percentage Change in FinJobs
0
0.0002
0.0004
0.0006
0.0008
0.001
0.0012
•2003:04 •2003:05 •2003:06 •2003:07 •2003:08 •2003:09 •2003:10 •2003:11 •2003:12 •2004:01