phbs
Econometrics II
2012-09-07 16:55:00
HSBC Business School, Peking University
Class meeting time: Wed&Thu 3:30-6:30pm
Instructor: Professor CSJ Chu
Course Requirements:
A midterm (30%), three homework (30%) and a final (40%).
Software knowledge such as STATA or EVIEW is required.
Textbook References: Any graduate econometrics text is useful such as:
(1) G. S.Maddala: Introduction to Econometrics
(2) J. Johnston: Econometric Methods
(3) J. Stock and M. Watson: Introduction to Econometrics.
(4) B. Hansen: Econometrics.
(5) Granger, C. and P. Newbold: Time Series Analysis
 
Course Outline
PART 0: Review
Principle of Maximum likelihood.
1.       Likelihood function
2.       Large sample theory of MLE
3.       Some examples: Binary response Model.
PART I: Single Equation Model
A.      Univariate time series: Trend, Seasonality and stationary fluctuations.
1. Stationary time series
2. White noise and Autocorrelations
3. AR(p), MA(q) and ARMA(p,q).
B. Stationary Time Series Regression
1 Conditional mean and OLS
2 OLS, t and F statistics
3 Diagnostics: Serial correlation and DW statistics
C Unit Root, Stochastic trend and spurious regression.
(1) Nonstationary time series characterized by a unit root.
(2) Spurious regression
(3) DF and ADF tests for unit root
(4) Problems of Unit Root Tests
(5) Nonstationarity due to Parameter shift
References:
§Poterba, J. and L. Summers (1988): “Mean Reversion in Stock Prices: Evidence and Implications,” Journal of Financial Economics 22, 27-50.
§Hasbrouck, J. and T. Ho (1987): “Order Arrival, Quote Behavior and the Return-Generating Process,” The Journal of Finance 42, 1035-1048.
§Balvers,R., T. Cosimano and B. McDonald (1990): “Predicting Stock Returns in an Efficient Market”, Journal of Finance XLV, 1109-1127.
§Fama, E and K. French (1989): “Business Conditions and Expected Returns on Stock and Bonds”, Journal of Financial Economics 25, 23-49.
§Breen,W., L.Glosten and R. Jagannathan (1989): “Economic Significance of Predictable Variations in Stock Index Returns,” Journal of Finance XLIV, 1177-1189.
D Volatility-GARCH Models
1 Autoregressive Conditional Heteroskedasticity/ARCH
2 Generalized ARCH/GARCH
3 Integrated GARCH and Break
4 Extensions: Asymmetric GARCH, EGARCH
References:
§Akgiray,V. (1989): “Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts,” The Journal of Business 62, 55-80.
§Berkowitz, J. and J. O’Brien (2002): “How Accurate Are Value-at-Risk Models at Commercial Banks?” The Journal of Finance 57, 1093-1111.
§Whitelaw, R. (1994): “Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns,” Journal of Finance XLIX, 515-541.
§Christopher G. Lamoureux and William D. Lastrapes (1990): “Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects,” Journal of Finance 45, 221-229.
§Bollerslev, T (1986): “Generalized autoregressive conditional heteroskedasticity
Generalized autoregressive conditional heteroskedasticity,” Journal of Econometrics 31, 307-327.
§Engle, R. (1982): “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation,” Econometrica 50, 987-1007.
PART II Multiple Equation Models
A Seemingly Unrelated Regression (SUR)
1. GLS and Efficiency
2 Reduced form and OLS estimation
B Vector Autoregression
1 Stationarity condition
2 Granger Causality
3 Impulse Response and Orthogonalized impulse Response
4 Variance decomposition
5 Cointegration
6 Nonstationary VAR and sufficient condition for cointegration
References:
Sundaram Janakiramanan, Asjeet S. Lamba (1998): “An empirical examination of linkages between Pacific-Basin stock markets,” Journal of International Financial Markets,
Institutions and Money 8, 155–173.
Gong-meng Chen, Michael Firth and Oliver Meng Rui (2002): “Stock market linkages: Evidence from Latin America,” Journal of Banking & Finance 26, 1113–1141.
Hamilton, J. (1994): Time Series Analysis.
Johansen, S. (1991): “Estimation and hypothesis testing of Cointegration vectors in Gaussian vector Autoregressive Models,” Econometrica 59, 1551-1580.
Sims, C (1980): “Macroeconomics and Reality,” Econometrica 48, 1-48.