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 . . . . . . .
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
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
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
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 intercep
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 statio
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
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 Decom
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 covarianc
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 canno
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.
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
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 prob
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
Review - Linear Regression and Time Series
Models
Steve Guo
January 17, 2009
Contents
1 Linear Regression Model
1.1 Non-random xi . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.2 Random xi
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