Econometrics III (BPHD8140)

Professor Zongwu Cai
Fall, 2009
 

 

Course Materials

 

  • Syllabus for this course (pdf format)

  • THE LECTURE NOTES for BPH8140 (Nonparametric Part)

  • Chapter 17 of Hamilton's Book (unit root)

    • Preliminary Materials

     

  • Review of Probability (Lecture Notes from E. Zivot http://faculty.washington.edu/ezivot/econ483/probrev.pdf)

  • Review of Statistics

  • Linear Algebra and Matrix Methods in Econometrics .

  • Information on how to install R (pdf format)

  • R-Manual (ABC) (pdf format, 109 pages)

  • RMetrics (simple descriptions of functions in R for financial engineering and computational finance) (pdf format, 4 pages)

  • An Important Link A list of packages useful for Empirical Finance.

  • Some simple examples of using R (pdf format) [This is a lab assignment. Please download this file and download R and install it to your computer and then follow the commands in this file to learn how to use R]

  • Reading Materials I THE LECTURE NOTES for ECON6219 on "Financial Econometrics"

  • Reading Materials II Lecture Notes on "Advanced Topics in Analysis of Economic and Financial Data Using R and SAS"

    • Reading Materials by Papers

     

  • Maheu, J.M. and T.H. McCurdy (2007). How useful are historical data for forecasting the long-run equity return distribution? Working paper .

  • Phillips, P.C.B. (1988). Regression theory for near-integrated time series. Econometrica, 56, 1021-1043.

    •