Block 2 presentation and R scripts

• Download presentation slides for Block 2
• Download R scripts for Block 2 (zip)

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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

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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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