Topic 8 - Markov Regime Switching Models
Steve Guo
April 21, 2009
Contents
1 Motivation
2
2 Markov Chain Model
3
3 Markov Switching AR Model
3.1 Bayes Rule and Inference for Probability . . . . . . . . . . . . . .
3.2 Can Kalman Filter be used to Estimate
1
ECON 6219 Midterm Exam, Fall 2008
DIRECTIONS: No books or notes of any kind are allowed. Each student is required to work independently. Write your name on each page you will turn in. If
you cannot write down the exact formula, try to explain in general
Econ 6219 - Home Work Assignment #1
Instructor: Steve Guo
Due: Jan 22, 2009
1. Complete the Matlab code to simulate the distribution of t-statistic for
testing hypothesis on AR(1) coecient
(a) Write a Matlab function to do OLS regression by implementing t
Econ 6219 - Home Work Assignment #2
Instructor: Steve Guo
Due: Feb 5, 2009
Complete the provided Matlab code to conduct the Augmented Dickey-Fuller
(ADF) test ( test and test) for unit root using the following time series
1. Download ten years of daily da
ECON 6219 Homework Assignment 5
Instructor: Steve Guo
February 19, 2009
Due Mar 5, 2009
Hypothesis Testing in the context of Unit Root Test
Repeat the unit root test for real GDP including an intercept, time trend and 2
lags of the rst dierence in the ADF
ECON 6219 Homework Assignment 4
Instructor: Steve Guo
February 12, 2009
Due Feb 26, 2009
1. Unit root
For the following model
yt = + yt1 + et , et IIDN (0, 2 )
(1)
(a) Assuming yt is covariance stationary (constant mean and variance, and
autocovariance),d
ECON 6219 Homework Assignment 3
Instructor: Steve Guo
January 29, 2009
Due Feb 12, 2009
Johansen Procedure of Test for Cointegration
Objective: Replicate the empirical ndings in Johansen and Juselius [1990] for
Denmark or Finland (make your choice of one
Topic 2 - Unit Root
Steve Guo
February 5, 2009
Contents
1 Time Series Regression Model
2
2 Unit Root Test
4
3 Unit Root in Discrete Time and Mean Reversion in Continuous
Time
8
4 Trend and Cycle Decomposition
1
9
2
1
Time Series Regression Model
Consider
ECON 6219 Homework Assignment 4 Solutions
Instructor: Steve Guo
March 3, 2009
Due Feb 26, 2009
1. Unit root
For the following model
2
yt = + yt1 + et , et IIDN (0, e )
(1)
(a) Assuming yt is covariance stationary (constant mean and variance,
and autocovar
1
ECON 6219 Midterm Exam, Spring 2009
DIRECTIONS: No books or notes of any kind are allowed. Each student is
required to work independently. Write your name on each page you will turn
in. If you cannot write down the exact formula, try to explain in gener
1
Solution to ECON 6219 Midterm Exam, Spring 2009
DIRECTIONS: No books or notes of any kind are allowed. Each student is required to work independently. Write your name on each page you will turn in. If
you cannot write down the exact formula, try to expl
1
ECON 6219 Midterm Exam, Fall 2008
DIRECTIONS: No books or notes of any kind are allowed. Each student is required to work independently. Write your name on each page you will turn in. If
you cannot write down the exact formula, try to explain in general
Topic A - Hypothesis Testing (Review)
Steve Guo
February 19, 2009
Contents
1 Introduction
2
2 Examples
5
1
2
1
Introduction
Given a statistical distribution for random variable X, we can tell the probability
that X is greater than a xed number c P (x > c)
ECON 6219 Homework 2 - Solutions
Steve Guo
October 20, 2008
1. Assume the estimate for the parameter vector follows the asymptotic
normal distribution:
T ( 0 ) N (0, )
(1)
where is p p positive denite matrix, and p is the dimension of the
vector .
(a) If
ECON 6219 Homework Assignment 6
Instructor: Steve Guo
March 5, 2009
Due Mar 19, 2009
1. Test of Weak-from of Ecient Market Hypothesis for Daily S&P500
Returns
Download 10 years of data on S&P 500 from Yahoo Finance. Conduct
the following statistical analy