finance

ECON 3350/7350: Applied Econometrics for Macroeconomics and Finance Tutorial 4: Single Equation Models of Multiple Time Series ARDL and ECM. 1. Derive the ECM representation of the following ARDL(1,1,2) model: ct =δ+θ1ct−1 +γ0at +γ1at−1 +λ0yt +λ1yt−1 +λ2yt−2 +εt Which parameter(s) in the resulting ECM are long-run multiplier(s) and adjust- ment parameter(s)? 2. The file wealth.csv […]

ECON 3350/7350: Applied Econometrics for Macroeconomics and Finance Tutorial 11: Cointegration – The Multiple Equation Case The data file term structure.csv contains data of a system of four Australian in- terest rates: the 5 year (i5y) and 3 year (i3y) Treasury Bond (capital market) rates, along with the 180 day (i180d) and 90 (i90d) day

ECON 3350/7350: Applied Econometrics for Macroeconomics and Finance Tutorial 2: Univariate Time Series – I This tutorial aims to get you familiar with the fundamental features of univariate time series models. 1. Derive the expected value, variance, covariance, autocorrelation function (ACF), and partial autocorrelation function (PACF) for the time series yt having the fol- lowing

ECON3350/7350 Volatility Models – II Eric Eisenstat The University of Queensland Lecture 8 Eric Eisenstat (School of Economics) ECON3350/7350 Week 9 1 / 25 Volatility Modeling Extensions Recommended readings Author Title Chapter Call No Enders Brooks Verbeek Applied Econometric Time Series, 4e Introductory Econo- metrics for Finance, 3e A Guide to Modern Econometrics 3 9

ECON 3350/7350: Applied Econometrics for Macroeconomics and Finance Tutorial 9: VAR Models – I The data file money dem.csv contains quarterly observations for the following vari- ables from 1959Q1 to 2001Q1 • RGDP: real US GDP • GDP: nominal GDP • M2: Money supply • Tb3mo: Three-month rate on US Treasury Bills Load the data

ECON 3350/7350: Applied Econometrics for Macroeconomics and Finance Final Exam Review 1 Overview The 􏱃nal exam is comprehensive and you may expect any topic that was covered either in lecture, tutorials or this review to be assessed. However, there will be no other material on the exam (e.g. anything that is covered in the text

ECON3350/7350 VAR Models – I Eric Eisenstat The University of Queensland Lecture 9 Eric Eisenstat (School of Economics) ECON3350/7350 Week 10 1 / 23 VAR Models Recommended readings Author Title Chapter Call No Enders Brooks Verbeek Applied Econometric Time Series, 4e Introductory Econo- metrics for Finance, 3e A Guide to Modern Econometrics 5 7 9.1,

ECON 3350/7350: Applied Econometrics for Macroeconomics and Finance Tutorial 5: Deterministic and Stochastic Trends The specification for a general ARIMA(p, d, q) model is pq ∆dyt =􏰁πi∆dyt−i +􏰁αjεt +δt i=1 j=0 where α0 = 1. • If you decide there is a constant only then δt = a0 • If you decide there is a