Financial Econometrics
Chapter 2: Linear Time Series Analysis
In Choi
Sogang University
In Choi (Sogang University)
Chapter 2: Linear Time Series Analysis
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Stationarity and autocorrelation funct
Ch1. Introduction
1. Time series; examples and objectives
2. Time series models
3. Stationary process
4. Preliminary analysis: classical decomposition
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Time series (TS) - Definition
I
Time serie
ECON 370: More Time Series Analysis
1
More Time Series Analysis
Econometric Methods, ECON 370
We will now examine the circumstances which permit us to use OLS, that is under which
situations would our
Homework II (2016)
1. Consider the following model
yi = 0 + 1 (xi x) + i ,
i = 1, , n.
(a) What estimator would you use to estimate and 2 ? Why?
(b) What are the distributions of your estimator ?
(c)
Econ 427 lecture 14 slides
Forecasting with MA Models
Byron Gangnes
Optimal forecast
One which, given the available information, has the
smallest average loss.
This will normally be the conditional
Econ 427 lecture 14 slides
Forecasting with MA Models
Byron Gangnes
Optimal forecast
One which, given the available information, has the
smallest average loss.
This will normally be the conditional
In Choi
Spring 2012
Financial Econometrics
Sogang University
Midterm Examination
Time: 12:00-1:20 PM
Total points: 90 points
Instructions: (i) Consulting an A4-sized sheet of paper on which you wrote