Practical Econometrics II / II

[PE II] 2020 Spring Semester

2018-06-21 16:53

RESULTS: [Link]


Announcements

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Important: from 2020 the course is taught in English.

Grading Information

 Worth (Points)Info
Midterm I30TBA
Midterm II30TBA
Exam40TBA
EXTRA (additional)5Two dates for partial and final result submission:
- TBA For "(1) Data Preparation and Analysis"
- TBA For "(2) Model Specification and Inference + VaR"
Total100 + 5 (from EXTRA)Minimum of 45 for passing grade, from which at least 5 are from the exam.

Course Information

 TitleLink
1Course IntroductionFile
2Python Notebook ExampleFile & Output
3R Notebook ExampleFile & Output

 


Lecture Files

 

   
Practical Econometrics Lecture Notes (PE I only. Will be combined with PE II at the end of the course)Link
Practical Econometrics Lecture Notes (PE II only, updated after each topic)Link
 TitleLectureExampleTask
1 Statistical data and their modelsPDF--
2Stationary time seriesPDF_1;
PDF_2
.Rmd   || R_out
.ipynb || P_out
HTML
3Time series with trend and seasonality componentsPDF_1;
PDF_2
.Rmd   || R_out
.ipynb || P_out
HTML
4Time series with unit rootPDF_1;
PDF_2
PDF_3
.ipynb || R_out
.ipynb || P_out
HTML
5Regressions with time lagsPDF⇓⇓⇓⇓⇓⇓
6Regressions with time series variablesPDF.ipynb || R_out
.ipynb || P_out
sim.ipynb || R_sim_out
HTML
7Multivariate models: Granger causality, VAR and VECM modelsPDFR_out
R_summary
HTML
8Endogeneity problemPDF--
9Simultaneous equationsPDF--
10Panel data modelsPDFR_outHTML
11Additional Topics in Econometrics and Machine Learning modellingPDF--
EXTRA TASK-.Rmd   || R_out
.ipynb || P_out
HTML

 


Some Useful Links

 TitleLanguageLink
1Time Series Analysis and Its Applications: With R ExamplesEnglishHomepage (DL)
2PREVIOUS MATERIAL: R.Lapinskas, Practical Econometrics II. Time Series Analysis (Lecture Notes)EnglishLink
3PREVIOUS MATERIAL: Lapinskas, Practical: Econometrics II. Time Series Analysis (Computer Labs)EnglishLink
R. Leipus. Laiko eilutėsLithuanianLink