finance

ECON 3350/7350: Applied Econometrics for Macroeconomics and Finance Tutorial 1: Introduction to Stata 1. Getting Started with Stata1 The point of this discussion section is to get you started using the statistical software package Stata. • Starting from the ASCII dataset cps98.csv, load the data into Stata. This file contains the data on average hourly […]

ECON 3350/7350: Applied Econometrics for Macroeconomics and Finance Tutorial 7: Volatility Models – I 1. Consider the daily share prices of the Commonwealth Bank (CWB) for the period September 5, 1996 – August 30, 2006 in the data file cwb.csv. Let {yt} denote the time series of the share prices. (a) Draw the time series

ECON 3350/7350: Applied Econometrics for Macroeconomics and Finance Tutorial 3: Univariate Time Series – II The point of this question is to suggest a general “road map” for analyzing univariate time series with ARMA models. 1. The file Merck.csv contains daily data of stock prices of Merck & Co., Inc. (MRK) during 2001-2013. In what

ECON3350/7350 Introduction and Review of the Classical Linear Regression Model Eric Eisenstat The University of Queensland Lecture 1 Eric Eisenstat (School of Economics) ECON3350/7350 Week 1 1 / 16 The Course Course Coordinator: Eric Eisenstat Room 523B, Colin Clark Building (39) Email: e.eisenstat@uq.edu.au Consultation Hours: Mon 14:00-16:00 or by appointment Tutor consultation timetables will be

ECON 3350/7350: Applied Econometrics for Macroeconomics and Finance Tutorial 3: Univariate Time Series – II The point of this question is to suggest a general “road map” for analyzing univariate time series with ARMA models. 1. The file Merck.csv contains daily data of stock prices of Merck & Co., Inc. (MRK) during 2001-2013. In what

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 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

ECON 3350/7350: Applied Econometrics for Macroeconomics and Finance Tutorial 11: VEC Models 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 Bank Accepted Bill (money

ECON 3350/7350: Applied Econometrics for Macroeconomics and Finance Tutorial 8: Volatility Models – II 1. Consider the daily share prices of Merck & Co., Inc. (MRK) for the period 2 January 2001 to 23 December 2013 in the data file Merck.csv. Let {yt} denote the time series of the share prices. Recall that we learned