Estimating and Forecasting the Stock Market1
These notes serve two purposes. First, they review some previous material such as data
collection, Stata programming, and unit roots. Second, they introduce some new concepts such
as autoregressions, autoregres
Joyce and Naber: Panel Estimnation1
We now consider an example of panel data estimation. This example comes from a published
paper in the Journal of Development Economics.2 We are following this paper for a few reasons.
1. It oers a fairly straightforward
ECO 318: A Primer on Linear Algebra1
A little linear algebra greatly aids the teaching of advanced macroeconomics. So the class
begins with a quick primer on this material. We will focus only on the aspects of linear algebra
that we will use heavily in th
An Introduction to Time Series1
These notes represent an introduction to time series. Much of the material is conceptional
and some of it is review. This courses focus is on estimation and will be heavily example based.
Nevertheless, we need this material
Eichenbaum and Fisher: VAR Estimation of Fiscal Policy1
Having completed our textbook treatment of VARS, we now turn to a stand alone example.
We will follow the March 2004 version of Fiscal Policy in the Aftermath of 9/11 by Martin
Eichenbaum and Jonas F
A Primer on Linear Algebra and a Review of Econometrics1
Linear Algebra
A matrix is simply a collection of individual elements. For example, the matrix A may be:
A=
a1,1 a1,2
a2,1 a2,2
=
1 2
(1)
3 4
Here, a1,1 is the element from the rst row and rst colum
Money-Income Causality: Dealing with Non-Stationarity1
Our rst attempt at estimating the eect of monetary policy on income involved simply
regressing Industrial Production on the CPI and the Federal Funds Rate. Among the specication problems with this reg
Stochastic Processes1
Autoregressive 1 Processes
We now begin to describe several common types of time series. We begin with an AR(1)
(for autoregressive) process. An AR(1) time series takes the following form:
xt = + xt1 + ut
(1)
This is called an AR(1)
Money-Income Causality: VAR Estimation1
We now seek the estimate the U.S. macroeconomy using vector autorgressions and vector
error correction models. This is the standard method for estimating the eects of monetary
policy on aggregate output and prices.
Panel Data1
We now begin the courses treatment of panel data. In general a panel consists of N cross
sections and T time periods. If each cross section has the same number of periods and each
time period has the same number of cross sections, then the pan
Money-Income Causality: Introduction and Descriptive Statistics1
For much of this semester we will develop an example to illustrate the techniques developed
in class. That example is money-income causality: do changes to monetary policy have eects
on outp