Upload
others
View
8
Download
0
Embed Size (px)
Citation preview
APPLIED ECONOMETRICS
James Morley
COURSE OUTLINE
• Time Series
• Basic Models
• Inference
• Forecasting
• Structural Analysis
• Advanced Models
PART I: “TIME SERIES”
OUTLINE
•Macroeconomic Data
• Serial Correlation
• Trends and Breaks
•Methodology
READINGS AND MATERIALS
• Stock and Watson, C. 12
• Hansen, JEP
• Hoover, Ch.5
• Sims, JEP
• EViews and GAUSS lite
TIME SERIES?
TIME SERIES?
• collection of observations for a variable (e.g., aggregate output) over time
!
y1, y2,!, yT{ }!
MACRO DATA
• Aggregate (Normality)
• FRED, BEA, SourceOECD, ABS
• Literature focuses on US data
• Look at the data!!
KEY SERIES (I)
• Real GDP, Components, Population
• Inflation (GDP Deflator, PCE Deflator, CPI)
• Unemployment Rate
!"#
$#
"#
%$#
%"#
&$#
&"#
'$#
()*!%+"$#
,)-!%+"&#
./0!%
+"'#
1)2!%+
"3#
456!%+"7#
829!%+":#
45;!%+"+#
</=!%+7$#
.5>!%+7&#
./>!%+7'#
?@A!%+73#
<*;!%+77#
()*!%+7:#
,)-!%+7+#
./0!%
+:$#
1)2!%+
:%#
456!%+:'#
829!%+:3#
45;!%+:7#
</=!%+::#
.5>!%+:+#
./>!%+B$#
?@A!%+B%#
<*;!%+B'#
()*!%+B3#
,)-!%+B7#
./0!%
+B:#
1)2!%+
BB#
456!%++$#
829!%++%#
45;!%++'#
</=!%++3#
.5>!%++7#
./>!%++:#
?@A!%++B#
<*;!&$$$#
()*!&$$%#
,)-!&$$'#
./0!&
$$3#
1)2!&$
$"#
456!&$$:#
829!&$$B#
45;!&$%$#
!"#$%&'(&)*+,-*-).&/0)*
!"!#
$"!#
%"!#
&"!#
'"!#
(!"!#
($"!#
)*+,(-.'#
/*0,(-
.'#
102,(-.-#
345,(-'!#
647,(-'(#
389,(-'$#
)*+,(-':#
/*0,(-
':#
102,(-'%#
345,(-';#
647,(-'&#
389,(-'.#
)*+,(-''#
/*0,(-
''#
102,(-'-#
345,(--!#
647,(--(#
389,(--$#
)*+,(--:#
/*0,(-
-:#
102,(--%#
345,(--;#
647,(--&#
389,(--.#
)*+,(--'#
/*0,(-
-'#
102,(---#
345,$!!!#
647,$!!(#
389,$!!$#
)*+,$!!:#
/*0,$!
!:#
102,$!!%#
345,$!!;#
647,$!!&#
389,$!!.#
)*+,$!!'#
/*0,$!
!'#
102,$!!-#
345,$!(!#
!"#$%&'(&)*+),-.'/0-,)$*1&$,*
KEY SERIES (II)
•Deficits/Debt
• Interest Rates
• Exchange Rates
• Stock Returns
DATA ISSUES
• Seasonality
• Revisions
•Measurement Error
• Chain Weighting
• Frequency
• Serial Correlation
SERIAL CORRELATION
• persistence in time series
WHY DOES SERIAL CORRELATION MATTER?
• less independent information
•more potential for forecasting
!"#$
!"%$
!&#$
!&%$
!#$
%$
#$
&%$
&#$
"%$"'&'&(#%$
"'&'&(#"$
"'&'&(#)$
"'&'&(#*$
"'&'&(#+$
"'&'&(*%$
"'&'&(*"$
"'&'&(*)$
"'&'&(**$
"'&'&(*+$
"'&'&(,%$
"'&'&(,"$
"'&'&(,)$
"'&'&(,*$
"'&'&(,+$
"'&'&(+%$
"'&'&(+"$
"'&'&(+)$
"'&'&(+*$
"'&'&(++$
"'&'&((%$
"'&'&(("$
"'&'&(()$
"'&'&((*$
"'&'&((+$
"'&'"%%%$
"'&'"%%"$
"'&'"%%)$
"'&'"%%*$
"'&'"%%+$
"'&'"%&%$
!"#$%&'()"$*&(+,$-.#/("#(012344(