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.pdfMacroeconomic Time-Series
sxy_ts_univariate.pdfUnivariate Time Series
sxy_ts_multivariate.pdfMultivariate Time Series
sxy_cs_macro.pdfMacro-Econometrics
Computer Class
Computer Class
sxy_cs_micro.pdfMicro-Econometrics
Computer Class
Computer Class
PS5.pdfProblem Set 5
PS6.pdfProblem Set 6
PS7.pdfProblem Set 7
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