Res Ec 797A Lecture 27 Fall 2011

Res Ec 797A Lecture 27 Fall 2011 - BM 110-112 A utoR...

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
Res Ec 797A: Forecasting Order Of Topics And Readings For Lecture 27 (December 7, 2011) Source Page(s) Topic Continuing With Material From Last Class BM 104-105 Link Between VAR and Where We Are Now (Error Correction) BM 106 Putting The Original (VAR) Equation Into Engle-Granger Form BM 107 Using A VAR In Standard Form Rather Than In Structural Form To Get The ECM BM 108 Augmenting The Previous Standard VAR Form With More Lags To Get A More Complicated ECM BM 109 Summary of BM pages 104-108 End of Material From Last Class I will distribute the following material in class. Anything below the line will not be on the final exam. New Material: AutoRegressive Conditional Heteroscedasticity (ARCH) will not be on the final exam.
Background image of page 1
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: BM 110-112 A utoR egressive C onditional H eteroscedasticity (ARCH) (Also see Enders pages 108-118). BM unnumbered Diagnostic Test: AutoRegressive Conditional page Heteroscedasticity (ARCH) unnumbered Engle ARCH test example Enders 120-121 Actual estimation for the Engle ARCH test example directly above New Material: Proc Varmax in SAS will not be on the final exam. Proc Varmax 1 A SAS program that does everything: . VAR: vector autoregression . Residual diagnostics / ARCH . dftest: like the %dftest macro . cointegration tests: Johansen . ECM: error correction model I also include Proc Gplot to get an idea how the variables move (which is useful when applying the Elder/Kennedy procedure)...
View Full Document

Ask a homework question - tutors are online