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Block2.md

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Block 2 presentation and R scripts

R scripts for seminars - outline of Block 2

1) Phillips.R

  • Wooldridge 5th Edition, Example 10.1, Example 11.5, Example 12.1, Example 12.5
  • Aim: repetition of TS-based LRMs. Expectations augmented Phillips curve, adaptive expectations, testing of serial correlation, FGLS in the case of serial correlation, Cochrane-Orcutt and Prais-Winsten transformation

2) Spurious.R

  • Aim: spurious regression example, cointegration tests

3) DF_ADF_tests.Rmd

  • Aim: unit root tests

4) Intqrt.R

  • Wooldridge 5th Edition, Example 18.2, Example 18.6, Example 18.7
  • Aim: unit root tests, cointegration tests, ECM

5) Chow_test.R

  • Aim: Chow 1 test statistic

6) Currency.R

  • Aim: static and dynamic forecasts (follows EViews Illustrated, Chapter 8)

7) Almon.Rmd

  • Aim: estimation of models containing PDLs

8) Hseinv.R

  • Wooldridge 5th Edition, Example 18.1
  • Aim: Estimation of Distributed Lag (FDL and IDL), comparison of Koyck and RDL estimates

9) Phillips_AEH

  • Wooldridge 5th Edition, Example 11.5, amended
  • Aim: adaptive expectations

10) SriLanka.R

  • PAM, AEH, Koyck, RDL

Seminar & self-study R scripts for Block 2

  • Barium.R

    • Wooldridge 5th Edition, Example 10.5, Example 10.11, Example 12.3, Example 12.4.
    • Aim: repetition of event study, seasonal dummies, testing of serial correlation, FGLS in the case of serial correlation, Cochrane-Orcutt and Prais-Winsten transformation

  • Phillips3.R

    • Wooldridge 5th Edition, Example 18.8, Example 18.9, Example 18.10
    • Aim: Chow test, forecasting

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