Econ 612: Lecture Notes 9
Inference
Luis E. Candelaria
Duke University
November 12, 2015
Objective of This Class
You will be able to review the hypothesis testing problem.
I
consistent test
I
test statistics & critical value
I
confidence interval
Lecture

Stat 343 Time Series Analysis
Lab 2 (Lecture 08): SAS Introduction 2 - PreClass
This lab, we continue to practice SAS. Since this class is time series analysis, we need to
learn how time series data is handled in SAS.
How SAS Stores Date/Time Values
SAS s

q1
data yilab3q1(keep=z);
do i = -10 to 50;
z = 0 + 2*rannor(1);
if i > 0 then output;
end;
run;
ods graphics;
proc arima data=yilab3q1 plots=series(acf);
identify var=z;
run;
ods graphics off;
q2
data yilab3q1(keep=z);
do i = -10 to 50;
z = 0 + 2*rannor(

Stat 343 Time Series Analysis
Lab 1 (Lecture 04): SAS Introduction 1 PreClass Reading
This lab is an Introduction to SAS. SAS is a statistical analysis software.
SAS Interface
Execute Codes
Output Window
Explorer
Window
Log Window
Editor Window
Explorer W

Econ 612: Lecture Notes 4
Stationary ARMA Models
Luis E. Candelaria
Duke University
September 30, 2015
Objective of This Class
1. Introduce the concepts of covariance-stationarity and ergodicity.
2. Introduce the baseline model in Time Series: ARMA models

Econ 612: Lecture Notes 7
Diagnostic Checking
Luis E. Candelaria
Duke University
November 2, 2015
Objective of This Class
I
Goal: You will learn to two compare and select between competing
models.
I
This corresponds to the 3rd stage of the Box-Jenkins met

Econ 612: Lecture Notes 8
Asymptotic Theory
Luis E. Candelaria
Duke University
November 4, 2015
Objective of This Class
You will be able to
I
I
I
establish that the estimator approaches to the true parameter value:
I
convergence in probability
I
consisten

Econ 612: Lecture Notes 10
Vector Process
Luis E. Candelaria
Duke University
November 24, 2015
Objective of This Class I
You will be able to
I
extend the concepts for univariate covariance stationary processes to
vector processes.
I
extend the estimation

Asymptotic Theory and Inference
Luis E. Candelaria
December 3, 2015
1
Introduction
This lecture notes are complementary to the lecture notes 8 (asymptotic theory) and the
inference part studied in class. I will develop with more detail some of the element

ECON 612: MIDTERM EXAM
Luis E. Candelaria
October 7, 2015
Instructions:
The exam is closed book and no additional material is allowed (e.g. Matlab, Scientific
calculators). Before you begin to complete the exam, you will be allowed 5 minutes
to read the q

Econ 612: Time Series
Handout 2: Mathematical Review
Luis E. Candelaria
September 6, 2015
1
Objective
The objective of this handout is to introduce basic concepts of matrix algebra and probability theory.
2
Linear Algebra
Definition 1 (Scalar Field)
A fie

Midterm Solutions
Luis E. Candelaria
Jurijs Nazarovs
October 21, 2015
1
Probability (10pts)
Let X and Y be independent random variables with distribution N (0, 1). Define new random variable
Z by
X,
if XY > 0
Z=
X, if XY < 0
1.1
Show that Z has a normal d

Step1:
Step2:
Step3:
Step4:
Step5:
Step6:
Step7:
Step8:
Step9:
Time Series AnalysisDecomposition
Input initial data
According to periods, do average
De-trended: the difference between step1 and step2
According to the periods, arrange data into groups. And