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 function
Weak stationarity
Let frt g be a time series for t

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 series = a set of observations made sequentially in time
I
N

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 Gauss-Markov Assumptions for our Time Series Data be r

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) Are 0 and 1 independent each other? Why?
2. Suppose tha

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 mean (the mean given that
we are a particular time peri

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 mean (the mean given that
we are a particular time peri

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 down necessary
information is allowed.
(ii) Write eithe