Econometrics Final Project
Study of Coffee Production
December 2, 2010
Econometrics Final Project
Introduction:
More than 2.25 billion cups of coffee are consumed worldwide everyday. Americans
consume about 1/5 of all the coffee produced in the world, how
Chapter 13
Simulation Methods
Introductory Econometrics for Finance Chris Brooks 2013
1
Simulation Methods in Econometrics and Finance
The Monte Carlo Method
This technique is often used in econometrics when the properties of a particular
estimation metho
Chapter 14
Conducting empirical research or doing
a project or dissertation in finance
Introductory Econometrics for Finance Chris Brooks 2013
1
Why do an empirical project?
Conducting empirical research is one of the best ways to get to grips with the
te
Chapter 11
Panel Data
Introductory Econometrics for Finance Chris Brooks 2013
1
The Nature of Panel Data
Panel data, also known as longitudinal data, have both time series and crosssectional dimensions.
They arise when we measure the same collection of pe
Chapter 7
Multivariate models
Introductory Econometrics for Finance Chris Brooks 2013
1
Simultaneous Equations Models
All the models we have looked at thus far have been single equations models of the
form
y = X + u
All of the variables contained in the
Chapter 5
Classical linear regression model assumptions
and diagnostics
Introductory Econometrics for Finance Chris Brooks 2013
1
Violation of the Assumptions of the CLRM
Recall that we assumed of the CLRM disturbance terms:
1. E(ut) = 0
2. Var(ut) = 2 <
Chapter 6
Univariate time series modelling and
forecasting
Introductory Econometrics for Finance Chris Brooks 2013
1
Univariate Time Series Models
Where we attempt to predict returns using only information contained in their
past values.
Some Notation and
Chapter 8
Modelling long-run relationship in finance
Introductory Econometrics for Finance Chris Brooks 2013
1
Stationarity and Unit Root Testing
Why do we need to test for Non-Stationarity?
The stationarity or otherwise of a series can strongly influence