Replica Paper: 1
Financial Econometrics
Muhammad Taimur
Following were the papers reviewed which have utilized simultaneous equations and applied
2SLS method. The abstract of these papers have been provided below;
The Impact of Corporate Social Performanc
Econ 427 lecture 23 slides
Intro to Cointegration and Error
Correction Models
Byron Gangnes
Cointegration
To integrated series are said to be cointegrated
when there is a linear combination of the two
series that is stationary
This will happen, when y a
Modeling Stock Market
Volatility using GARCH
Models: Evidence from
MuhammadIndex
Taimur
KSE-100
Introduction
The stability of stock markets is key to economic
development, however markets are time evolving
In order to model and forecast time series like s
Modeling Stock Market Volatility using GARCH Models: Evidence from KSE-100 Index
Muhammad Taimur
Introduction:
Stock markets are considered to play a very important role in a countrys economic development.
This is evident from the considerable amount of m
In the first step stationaririty of the two variables was checked. Since for Co integration non stationarity of
variables is must. Then the residuals should be stationary. Both DJI and KSE were non stationairy with p
value 0.99 and 0.87
Date: 04/08/15 Tim
Co-integration between international
markets: Evidence from Karachi
Stock Exchange and Dow Jones
Industrial Average
MuhammadTaimur
Introduction
Globalizationandreducedrestrictionsoninternationalcrosslistingshas
enabledtheflowofcapitalacrossborders
Withsuc
Co-integration between international markets: Evidence from Karachi Stock Exchange
and Dow Jones Industrial Average
Muhammad Taimur
Introduction:
The flow of capital between different across the global economies has been made possible as a
result of globa
Forecasting the Exchange Rate of
Pakistani Rupee using ARIMA
model
MuhammadTaimur
Introduction
Theroleofexchangerateiscrucialintodaysbusiness
environmentandisimportanttotheeconomy,businesses,
fundmanagersandinvestors.
SincetheverystartofPakistanirupeeitha
Forecasting the Exchange Rate of Pakistani Rupee using ARIMA model
Muhammad Taimur
Abstract:
In this era of global dynamic economy forecasting foreign exchange rates accurately with less
deviation is utmost important for future investments.
In this paper
The Effect of Board
Independence on the Earnings
Quality: Evidence from
Pakistani Listed Companies
MuhammadTaimur
Introduction
Highly reported earnings (Earning Management) figures favor
managers while mislead the investors.
Independent directors appointm
Gujarati: 21.1
Variable: Personal Consumption Expenditure
Correlogram
Interpretation:
Looking at the correlogram, the bars lie outside the blue lines thus we conclude that the data is
non stationary until lag 17.
Inte
rpretation:
Ho: Data is stationary/ t
Chapter 6
Multivariate models
Introductory Econometrics for
1
Simultaneous Equations Models
All the models we have looked at thus far have been single equations models of
the form
y = X + u
All of the variables contained in the X matrix are assumed to be
Activity Lab 03
Answer 1:
a. Estimating Pooled OLS:
Model 1: Pooled OLS, using 60 observations
Included 3 cross-sectional units
Time-series length = 20
Dependent variable: Y
Coefficient
12.4394
-0.0530767
Const
X
Mean dependent var
Sum squared resid
R-squ
Labor and Agriculture productivity:
A case of of District Malakand.
MuhammadTaimur
Introduction
Agriculture has been considered as the
backbone of Pakistani economy since 1947
Agricultural output and productivity is effected
by many factors.
Some common f