Concordia University
Department of Economics
Econ 324
Economic Data Analysis
Ivan Tchinkov
Fall 2016
Midterm Examination
FIRST NAME:
LAST NAME:
STUDENT NUMBER:
I. True/False/Uncertain - Briefly explain. No credit without an explanation (8 marks each).
1.
Lecture 7
ADL, Cointegration, ECM
Econ 324
Ivan Tchinkov
1
Autoregressive Distributed Lag (ADL) Model
Focus on 2 time series variables:
Yt
and
Xt .
Can easily extend to many variables.
Combine
AR(p)
with Distributed Lag Model
AR(p)
Yt = + t + 1 Yt1 + . .
Concordia University
Department of Economics
Econ 324
Economic Data Analysis
Ivan Tchinkov
Fall 2015
Problem Set # 2
(due Monday, Dec.
7 in class
)
LAST NAME:
FIRST NAME:
STUDENT NUMBER:
I. True/False/Uncertain - Briefly explain. No credit without an expl
Lecture 6
Autoregressive Models and Non-Stationarity
Econ 324
Ivan Tchinkov
1
Introduction
Previously we discussed distributed lag models. These can be misleading
if:
Yt depends on lags of the dependent variable
Xt , Xt1 , ., Xtq .
The dependent variable
Lecture 5
Serial Correlation
Econ 324
Ivan Tchinkov
1
Serial Correlation
Serial correlation
occurs when one observation's error term (i ) is cor-
related with another observation's error term (j ):
Corr(i , j ) = 0
serially correlated.
We say the errors
Lecture 10
Simultaneous Equations and IV/2SLS
Econ 324
Ivan Tchinkov
1 The Nature of Simultaneous Equations Systems
In a typical econometric equation:
Yt = 0 + 1 X1t + 2 X2t + t
a
simultaneous system is one in which
of the
Xs
Y
in addition to the eect tha
Using Stata to Run a Regression - Part I
October 9, 2015
1 Create an output le
Double click on the Stata icon to open the program.
The Stata screen is subdivided in 4 windows:
Commands Window: This is where you type your program commands.
Variables Wi
Using Stata to Run a Regression - Part II
November 27, 2015
1
VARs and VECs
Before you begin, check if the data is properly imported, create a log le
to save your work and set the data for time series:
e.g. gen time=tq(1970q1)+_n-1
tsset time, quarterl
Lecture 8
VAR, VECM, Granger
Econ 324
Ivan Tchinkov
1
Granger Causality (not in the book)
We said you should be cautious about interpreting correlation and regression results as reecting causality.
In regression, we label one variable the dependent variab
Lecture 12
Dummy Dependent Variable
Econ 324
Ivan Tchinkov
1
Dummy Dependent Variable
So far we looked at dummy independent variables.
Now, what if the dependent variable is a dummy, i.e.
either
0
or
1
(or
possibly more categories).
Example:
Explain drive
Lecture 9
ARCH, GARCH
Econ 324
Ivan Tchinkov
1
Financial Volatility
In nance, we are often interested in the
volatility (i.e.
variability/variance)
of asset prices.
Volatility relates to
risk and is important in:
portfolio management
Capital Asset Pricing
Concordia University
Department of Economics
Econ 324
Economic Data Analysis
Ivan Tchinkov
Fall 2015
Problem Set # 1
(due Monday, Oct.
FIRST NAME:
19 in class)
LAST NAME:
STUDENT NUMBER:
I. True/False/Uncertain - Briey explain. No credit without an explan
Concordia University
Department of Economics
Econ 324
Economic Data Analysis
Ivan Tchinkov
Winter 2016
Problem Set # 1
(due Tuesday, Feb.
FIRST NAME:
16 in class)
LAST NAME:
STUDENT NUMBER:
I. True/False/Uncertain - Briefly explain. No credit without an e
Concordia University
Department of Economics
Econ 324
Economic Data Analysis
Ivan Tchinkov
Winter 2016
Midterm Examination
FIRST NAME:
LAST NAME:
STUDENT NUMBER:
I. True/False/Uncertain - Briefly explain. No credit without an explanation (8 marks each).
1
Concordia University
Department of Economics
Econ 324
Economic Data Analysis
Ivan Tchinkov
Fall 2014
Problem Set # 1
(due Tuesday, Oct.
FIRST NAME:
14 at noon in my mailbox
)
LAST NAME:
STUDENT NUMBER:
I. True/False/Uncertain - Briey explain. No credit wi
Concordia University
Department of Economics
Econ 324
Economic Data Analysis
Ivan Tchinkov
Winter 2015
Midterm Examination
FIRST NAME:
LAST NAME:
STUDENT NUMBER:
I. True/False/Uncertain - Briey explain. No credit without an explanation (2 marks each).
1.
Concordia University
Department of Economics
Econ 324
Economic Data Analysis
Ivan Tchinkov
Fall 2014
Problem Set # 2
(due Monday, Dec.
FIRST NAME:
1 in class)
LAST NAME:
STUDENT NUMBER:
I. True/False/Uncertain - Briey explain. No credit without an explana
Concordia University
Department of Economics
Econ 324
Economic Data Analysis
Ivan Tchinkov
Fall 2014
Problem Set # 1
(due Tuesday, Oct.
FIRST NAME:
14 at noon in my mailbox
)
LAST NAME:
STUDENT NUMBER:
I. True/False/Uncertain - Briey explain. No credit wi
Concordia University
Department of Economics
Econ 324
Economic Data Analysis
Ivan Tchinkov
Winter 2015
Problem Set # 1
(due Wednesday, Feb.
FIRST NAME:
18 in class
)
LAST NAME:
STUDENT NUMBER:
I. True/False/Uncertain - Briey explain. No credit without an
Concordia University
Department of Economics
Econ 324
Economic Data Analysis
Ivan Tchinkov
Fall 2014
Midterm Examination
FIRST NAME:
LAST NAME:
STUDENT NUMBER:
I. True/False/Uncertain - Briey explain. No credit without an explanation (2 marks each).
1. Th
Econ 222 Review I
Regression and OLS
Econ 324
Ivan Tchinkov
1
What is Regression Analysis?
Regression analysis is a very common statistical/econometric technique.
We use it to measure/explain relationships between economic variables.
Example: casual obser
Econ 222 Review II
The Classical Linear Regression Model (CLRM)
Econ 324
Ivan Tchinkov
1
Properties of Least Squares Estimators
We've seen the least squares estimator of the coecients of the linear
regression model:
Yi = 0 + 1 X1i + 2 X2i + 3 X3i + . . .
Lecture 4
Distributed Lag Models
Econ 324
Ivan Tchinkov
1
Time Series Data
Time series data:
With time series new issues arise:
Yt
for
t = 1, ., T .
1. One variable can inuence another
nonstationary,
gression may arise.
2. If the data are
2
a problem know
Econ 222 Review III
Hypothesis Testing for Linear Regression
Econ 324
Ivan Tchinkov
1 Review
We derived a sampling distribution for the least squares estimator when
the errors are normally distributed.
= 0 + 1 X1i +
2 X2i + . + k Xki + i with i N (0, 2 )