Practical Econometrics II / II

[PE II] 2019 Spring Semester

2018-06-21 16:53

Announcements

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Course Information

 Worth (Points)Info
Midterm I302019-03-19
Midterm II30~ 2019-04-23
Exam40TBA
EXTRA (additional)5Two dates for partial and final result submission:
- 2019-04-12 For "(1) Data Preparation and Analysis"
- 2019-05-21 For "(2) Model Specification and Inference"
Total100 + 5 (from EXTRA)Minimum of 45 for passing grade.
 TitleLink
1Course IntroductionFile
2Python Notebook ExampleFile & Output
3R Notebook ExampleFile & Output
4Literature (Theory)R.Lapinskas, Practical Econometrics II. Time Series Analysis (Lecture Notes)
5Literature (Practice)R.Lapinskas, Practical Econometrics II. Time Series Analysis (Computer Labs)

 


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
1R. Leipus. Laiko eilutėsLithuanianLink
2Time Series Analysis and Its Applications: With R ExamplesEnglishLink