ch09 - Click to edit Master subtitle style Principles of...

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Unformatted text preview: Click to edit Master subtitle style Principles of Econometrics, 3rd Edition Chapter 9 Dynamic Models, Autocorrelation and Forecasting Prepared by Vera Tabakova, East Carolina University Principles of Econometrics, 3rd Edition Chapter 9: Dynamic Models, Autocorrelation and Forecasting 9.1 Introduction 9.2 Lags in the Error Term: Autocorrelation 9.3 Estimating an AR(1) Error Model 9.4 Testing for Autocorrelation 9.5 An Introduction to Forecasting: Autoregressive Models 9.6 Finite Distributed Lags 9.7 Autoregressive Distributed Lag Models 2Slide 9-2 Principles of Econometrics, 3rd Edition Principles of Econometrics, 3rd Edition 9.1 Introduction 3Slide 9-3 Principles of Econometrics, 3rd Edition Principles of Econometrics, 3rd Edition 9.1 Introduction 4Slide 9-4 Principles of Econometrics, 3rd Edition (9.1) (9.2) (9.3) 1 2 ( , , ,...) t t t t y f x x x-- = 1 ( , ) t t t y f y x- = 1 ( ) ( ) t t t t t y f x e e f e- = + = Principles of Econometrics, 3rd Edition 9.1 Introduction 5Slide 9-5 Principles of Econometrics, 3rd Edition Principles of Econometrics, 3rd Edition 9.1 Introduction 6Slide 9-6 Principles of Econometrics, 3rd Edition Principles of Econometrics, 3rd Edition 9.1 Introduction 7Slide 9-7 Principles of Econometrics, 3rd Edition Principles of Econometrics, 3rd Edition 9.2 Lags in the Error Term: Autocorrelation 9.2.1 Area Response Model for Sugar Cane 8Slide 9-8 Principles of Econometrics, 3rd Edition (9.5) ( 29 ( 29 1 2 ln ln A P = + (9.4) ( 29 ( 29 1 2 ln ln t t t A P e = + + (9.6) 1 2 t t t y x e = + + 1 t t t e e v- = + Principles of Econometrics, 3rd Edition 9.2.2 First-Order Autoregressive Errors 9Slide 9-9 Principles of Econometrics, 3rd Edition (9.9) (9.8) (9.10) (9.7) 1 2 t t t y x e = + + 1 t t t e e v- = + 2 ( ) var( ) cov( , ) for t t v t s E v v v v t s = = = 1 1- < < Principles of Econometrics, 3rd Edition 9.2.2 First-Order Autoregressive Errors 10Slide 9-10 Principles of Econometrics, 3rd Edition (9.13) (9.12) (9.11) ( ) t E e = 2 2 2 var( ) 1 v t e e = =- ( 29 2 cov , k t t k e e e k- = Principles of Econometrics, 3rd Edition 9.2.2 First-Order Autoregressive Errors 11Slide 9-11 Principles of Econometrics, 3rd Edition (9.16) (9.15) (9.14) ( 29 2 2 cov( , ) cov( , ) corr( , ) var( ) var( )var k k t t k t t k e t t k t e t t k e e e e e e e e e---- = = = = 1 corr( , ) t t e e- = 3.893 .776 (se) (.061) (.277) t t y x = + Principles of Econometrics, 3rd Edition 9.2.2 First-Order Autoregressive Errors 12Slide 9-12 Principles of Econometrics, 3rd Edition Principles of Econometrics, 3rd Edition 9.2.2 First-Order Autoregressive Errors 13Slide 9-13 Principles of Econometrics, 3rd Edition Principles of Econometrics, 3rd Edition 9.2.2 First-Order Autoregressive Errors 14Slide 9-14 Principles of Econometrics, 3rd Edition (9.18) (9.17) P P P 1 2 2 1 1 ( )( ) cov( , ) var( )var( ) ( ) ( ) T t t t t t xy T T t t t t t t x x y y x y r x y x x y y...
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ch09 - Click to edit Master subtitle style Principles of...

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