Econometrics

PPE and E&M
2018 to 2020
Department of Economics
University of Oxford

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This course intends to expose you to the statistical techniques that economists use for estimating, testing, and forecasting economic relationships. The emphasis is on understanding the techniques involved and also on what they mean in terms of the economic problem being studied. Successful completion of this course should allow you to read much of the professional empirical literature in economics. The materials on this page cover macroeconometrics section of the course.

sxy_ts_macroeconomic.pdf

Macroeconomic Time-Series

sxy_ts_univariate.pdf

Univariate Time Series

sxy_ts_multivariate.pdf

Multivariate Time Series

sxy_cs_macro.pdf

Macro-Econometrics
Computer Class

sxy_cs_micro.pdf

Micro-Econometrics
Computer Class

PS5.pdf

Problem Set 5

PS6.pdf

Problem Set 6

PS7.pdf

Problem Set 7

Other

Download Oxmetrics (oxford only) - here

Data Micro-Econometrics Computer Class - here

Attached are Youtube videos of the developer of Oxmetrics, Dr Jurgen Doornik.

Introduction

Data

Data Manipulation

Visualisation

Reading recommendations

Time Series Introduction

Hamilton 1994, Time Series Analysis, 3.1-3.4

Hamilton 1994, Time Series Analysis, Chapter 7

Brockwell and Davis 2002, Introduction to Time Series Analysis and Forecasting, Chapter 3


Time Series Univariate Introduction

Hamilton 1994, Time Series Analysis, Chapter 8 and 16


Time Series Trends

Hamilton 1994, Time Series Analysis, Chapter 15 (optional), Chapter 16.1, Chapter 16.2


Time Series Unit-Roots

Hamilton 1994, Time Series Analysis, Chapter 17.1 - 17.4, 18.3


Time Series Co-integration

Hamilton 1994, Time Series Analysis, Chapter 19.1 - 19.2