Special topics in econometrics (Economics 706B), McGill University, Winter 2017
Course schedule: Monday 18h05 - 20h55
Office hours: Monday 16h00 - 18h00 [except on Monday February 27]
During the reading week (February 27 - March 2), my offfice hours will be on Thursday March 2 (16h00 - 18h00).
Course outline (Economics 706B / Winter 2017):
pdf,
ps.
This is a tentative course outline which will be updated.
Course schedule: Tuesday 18h05 - 20h55
Office hours: Monday 16h00 - 18h00 [except on Monday February 27]
During the reading week (February 27 - March 2), my offfice hours will be on Thursday March 2 (16h00 - 18h00).
Course outline (Economics 763B / Winter 2017):
pdf,
ps.
This is a tentative course outline which will be updated.
Lecture notes
Introduction to time series analysis:
pdf.
Slides:
pdf.
Stochastic processes: basic notions:
pdf,
ps.
Slides:
pdf,
ps,
Stochastic processes: generating functions and identification:
pdf,
ps.
Slides:
pdf,
ps.
"Rank Tests for Serial Dependence",
Journal of Time Series Analysis, 2, 1981, 117-128.
pdf.
"Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem"
(with Bryan Campbell),
Economics Letters, 35, 1991, 285-290.
pdf.
"Exact Nonparametric Orthogonality and Random Walk Tests"
(with Bryan Campbell),
Review of Economics and Statistics, 77, 1995, 1-16.
pdf.
"Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter"
(with Bryan Campbell),
International Economic Review, 38, 1997, 151-173.
pdf.
"Finite-sample distribution-free inference in linear median regressions under
heteroskedasticity and nonlinear dependence of unknown form"
(with élise Coudin),
The Econometrics Journal, Tenth Anniversary Special Issue, 12 (2009), S1, S19-S49.
pdf.
Discussion paper -
pdf,
ps.
"Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form"
(with Abderrahim Taamouti).
Computational Statistics and Data Analysis, 54 (2010), 2532-2553.
Discussion Paper - June 2009:
pdf,
ps.
"Monte Carlo Test Methods in Econometrics" (with Lynda Khalaf), in
Companion to Theoretical Econometrics,
edited by Badi Baltagi, Blackwell, Oxford, U.K., 2001, Chapter 23, 494-519.
pdf,
ps.
More complete version:
pdf,
ps.
"Simulation Based Finite and Large Sample Tests in Multivariate Regressions"
(with Lynda Khalaf),
Journal of Econometrics 111, 2 (December 2002), 303-322.
pdf.
Discussion paper -
pdf,
ps.
"Testing mean-variance efficiency in CAPM with possibly non-gaussian errors:
an exact simulation-based approach"
(with Marie-Claude Beaulieu and Lynda Khalaf),
Journal of Business and Economic Statistics, 25 (2007), 4, 398-410.
pdf.
Discussion paper:
pdf,
ps.
"Finite-sample multivariate tests of asset pricing models with coskewness"
(with Lynda Khalaf and Marie-Claude Beaulieu),
Computational Statistics and Data Analysis, 53 (2009), 2008-2021.
pdf,
ps.
Discussion paper -
pdf,
ps.
"Multivariate residual-based finite-sample tests for serial dependence and ARCH
effects with applications to asset pricing models"
(with Lynda Khalaf and Marie-Claude Beaulieu),
Journal of Applied Econometrics, 25 (2010), 263-285.
pdf,
ps.
"Identification-robust estimation and testing of the zero-beta CAPM"
(with Marie-Claude Beaulieu and Lynda Khalaf),
Review of Economic Studies, 83, 3 (July 2013), 892-924.
Discussion paper - April 2012:
pdf,
ps.
"Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions" (
with Marie-Claude Beaulieu et Lynda Khalaf),
Numerical Methods in Finance,
edited by M. Breton et H. Ben Ameur,
Kluwer/Springer-Verlag, New York, 2005, Chapter 9, 173-191.
pdf.
"Exact inference and optimal invariant estimation for the stability parameter of symmetric α-stable distributions"
(with Jeong-Ryeol Kurz-Kim).
Journal of Empirical Finance, 17 (2010), 180-194.
pdf.
Discussion Paper - July 2007:
pdf,
ps.
"Exact confidence sets and goodness-of-fit test methods for stable distributions"
(with Marie-Claude Beaulieu and Lynda Khalaf),
Journal of Econometrics, forthcoming.
Discussion paper - October 2013:
pdf,
ps.
"Rank Tests for Serial Dependence",
Journal of Time Series Analysis, 2, 1981, 117-128.
pdf.
"Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem"
(with Bryan Campbell),
Economics Letters, 35, 1991, 285-290.
pdf.
"Exact Nonparametric Orthogonality and Random Walk Tests"
(with Bryan Campbell),
Review of Economics and Statistics, 77, 1995, 1-16.
pdf.
"Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter"
(with Bryan Campbell),
International Economic Review, 38, 1997, 151-173.
pdf.
"Finite-sample distribution-free inference in linear median regressions under
heteroskedasticity and nonlinear dependence of unknown form"
(with élise Coudin),
The Econometrics Journal, Tenth Anniversary Special Issue, 12 (2009), S1, S19-S49.
pdf.
Discussion paper -
pdf,
ps.
"Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form"
(with Abderrahim Taamouti).
Computational Statistics and Data Analysis, 54 (2010), 2532-2553.
Discussion Paper - June 2009:
pdf,
ps.
"Monte Carlo Test Methods in Econometrics" (with Lynda Khalaf), in
Companion to Theoretical Econometrics,
edited by Badi Baltagi, Blackwell, Oxford, U.K., 2001, Chapter 23, 494-519.
pdf,
ps.
More complete version:
pdf,
ps.
"Simulation Based Finite and Large Sample Tests in Multivariate Regressions"
(with Lynda Khalaf),
Journal of Econometrics 111, 2 (December 2002), 303-322.
pdf.
Discussion paper -
pdf,
ps.
"Testing mean-variance efficiency in CAPM with possibly non-gaussian errors:
an exact simulation-based approach"
(with Marie-Claude Beaulieu and Lynda Khalaf),
Journal of Business and Economic Statistics, 25 (2007), 4, 398-410.
pdf.
Discussion paper:
pdf,
ps.
"Finite-sample multivariate tests of asset pricing models with coskewness"
(with Lynda Khalaf and Marie-Claude Beaulieu),
Computational Statistics and Data Analysis, 53 (2009), 2008-2021.
pdf,
ps.
Discussion paper -
pdf,
ps.
"Multivariate residual-based finite-sample tests for serial dependence and ARCH
effects with applications to asset pricing models"
(with Lynda Khalaf and Marie-Claude Beaulieu),
Journal of Applied Econometrics, 25 (2010), 263-285.
pdf,
ps.
"Identification-robust estimation and testing of the zero-beta CAPM"
(with Marie-Claude Beaulieu and Lynda Khalaf),
Review of Economic Studies, 83, 3 (July 2013), 892-924.
Discussion paper - April 2012:
pdf,
ps.
"Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions" (
with Marie-Claude Beaulieu et Lynda Khalaf),
Numerical Methods in Finance,
edited by M. Breton et H. Ben Ameur,
Kluwer/Springer-Verlag, New York, 2005, Chapter 9, 173-191.
pdf.
"Exact inference and optimal invariant estimation for the stability parameter of symmetric α-stable distributions"
(with Jeong-Ryeol Kurz-Kim).
Journal of Empirical Finance, 17 (2010), 180-194.
pdf.
Discussion Paper - July 2007:
pdf,
ps.
"Exact confidence sets and goodness-of-fit test methods for stable distributions"
(with Marie-Claude Beaulieu and Lynda Khalaf),
Journal of Econometrics, forthcoming.
Discussion paper - October 2013:
pdf,
ps.
Mathematical notes (for reference only)
Properties of moments of random variables:
pdf,
ps.
"Rank Tests for Serial Dependence",
Journal of Time Series Analysis, 2, 1981, 117-128.
pdf.
"Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem"
(with Bryan Campbell),
Economics Letters, 35, 1991, 285-290.
pdf.
"Exact Nonparametric Orthogonality and Random Walk Tests"
(with Bryan Campbell),
Review of Economics and Statistics, 77, 1995, 1-16.
pdf.
"Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter"
(with Bryan Campbell),
International Economic Review, 38, 1997, 151-173.
pdf.
"Finite-sample distribution-free inference in linear median regressions under
heteroskedasticity and nonlinear dependence of unknown form"
(with élise Coudin),
The Econometrics Journal, Tenth Anniversary Special Issue, 12 (2009), S1, S19-S49.
pdf.
Discussion paper -
pdf,
ps.
"Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form"
(with Abderrahim Taamouti).
Computational Statistics and Data Analysis, 54 (2010), 2532-2553.
Discussion Paper - June 2009:
pdf,
ps.
"Monte Carlo Test Methods in Econometrics" (with Lynda Khalaf), in
Companion to Theoretical Econometrics,
edited by Badi Baltagi, Blackwell, Oxford, U.K., 2001, Chapter 23, 494-519.
pdf,
ps.
More complete version:
pdf,
ps.
"Simulation Based Finite and Large Sample Tests in Multivariate Regressions"
(with Lynda Khalaf),
Journal of Econometrics 111, 2 (December 2002), 303-322.
pdf.
Discussion paper -
pdf,
ps.
"Testing mean-variance efficiency in CAPM with possibly non-gaussian errors:
an exact simulation-based approach"
(with Marie-Claude Beaulieu and Lynda Khalaf),
Journal of Business and Economic Statistics, 25 (2007), 4, 398-410.
pdf.
Discussion paper:
pdf,
ps.
"Finite-sample multivariate tests of asset pricing models with coskewness"
(with Lynda Khalaf and Marie-Claude Beaulieu),
Computational Statistics and Data Analysis, 53 (2009), 2008-2021.
pdf,
ps.
Discussion paper -
pdf,
ps.
"Multivariate residual-based finite-sample tests for serial dependence and ARCH
effects with applications to asset pricing models"
(with Lynda Khalaf and Marie-Claude Beaulieu),
Journal of Applied Econometrics, 25 (2010), 263-285.
pdf,
ps.
"Identification-robust estimation and testing of the zero-beta CAPM"
(with Marie-Claude Beaulieu and Lynda Khalaf),
Review of Economic Studies, 83, 3 (July 2013), 892-924.
Discussion paper - April 2012:
pdf,
ps.
"Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions" (
with Marie-Claude Beaulieu et Lynda Khalaf),
Numerical Methods in Finance,
edited by M. Breton et H. Ben Ameur,
Kluwer/Springer-Verlag, New York, 2005, Chapter 9, 173-191.
pdf.
"Exact inference and optimal invariant estimation for the stability parameter of symmetric α-stable distributions"
(with Jeong-Ryeol Kurz-Kim).
Journal of Empirical Finance, 17 (2010), 180-194.
pdf.
Discussion Paper - July 2007:
pdf,
ps.
"Exact confidence sets and goodness-of-fit test methods for stable distributions"
(with Marie-Claude Beaulieu and Lynda Khalaf),
Journal of Econometrics, forthcoming.
Discussion paper - October 2013:
pdf,
ps.
Mathematical notes (for reference only)
Properties of moments of random variables:
pdf,
ps.
"Rank Tests for Serial Dependence",
Journal of Time Series Analysis, 2, 1981, 117-128.
pdf.
"Over-Rejections in Rational Expectations Models : A Nonparametric Approach to the Mankiw-Shapiro Problem"
(with Bryan Campbell),
Economics Letters, 35, 1991, 285-290.
pdf.
"Exact Nonparametric Orthogonality and Random Walk Tests"
(with Bryan Campbell),
Review of Economics and Statistics, 77, 1995, 1-16.
pdf.
"Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter"
(with Bryan Campbell),
International Economic Review, 38, 1997, 151-173.
pdf.
"Finite-sample distribution-free inference in linear median regressions under
heteroskedasticity and nonlinear dependence of unknown form"
(with Élise Coudin),
The Econometrics Journal, Tenth Anniversary Special Issue, 12 (2009), S1, S19-S49.
pdf.
Discussion paper -
pdf,
ps.
"Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form"
(with Abderrahim Taamouti).
Computational Statistics and Data Analysis, 54 (2010), 2532-2553.
Discussion Paper - June 2009:
pdf,
ps.
"Monte Carlo Test Methods in Econometrics" (with Lynda Khalaf), in
Companion to Theoretical Econometrics,
edited by Badi Baltagi, Blackwell, Oxford, U.K., 2001, Chapter 23, 494-519.
pdf,
ps.
More complete version:
pdf,
ps.
"Simulation Based Finite and Large Sample Tests in Multivariate Regressions"
(with Lynda Khalaf),
Journal of Econometrics 111, 2 (December 2002), 303-322.
pdf.
Discussion paper -
pdf,
ps.
"Testing mean-variance efficiency in CAPM with possibly non-gaussian errors:
an exact simulation-based approach"
(with Marie-Claude Beaulieu and Lynda Khalaf),
Journal of Business and Economic Statistics, 25 (2007), 4, 398-410.
pdf.
Discussion paper:
pdf,
ps.
"Finite-sample multivariate tests of asset pricing models with coskewness"
(with Lynda Khalaf and Marie-Claude Beaulieu),
Computational Statistics and Data Analysis, 53 (2009), 2008-2021.
pdf,
ps.
Discussion paper -
pdf,
ps.
"Multivariate residual-based finite-sample tests for serial dependence and ARCH
effects with applications to asset pricing models"
(with Lynda Khalaf and Marie-Claude Beaulieu),
Journal of Applied Econometrics, 25 (2010), 263-285.
pdf,
ps.
"Identification-robust estimation and testing of the zero-beta CAPM"
(with Marie-Claude Beaulieu and Lynda Khalaf),
Review of Economic Studies, 83, 3 (July 2013), 892-924.
Discussion paper - April 2012:
pdf,
ps.
"Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions" (
with Marie-Claude Beaulieu et Lynda Khalaf),
Numerical Methods in Finance,
edited by M. Breton et H. Ben Ameur,
Kluwer/Springer-Verlag, New York, 2005, Chapter 9, 173-191.
pdf.
"Exact inference and optimal invariant estimation for the stability parameter of symmetric α-stable distributions"
(with Jeong-Ryeol Kurz-Kim).
Journal of Empirical Finance, 17 (2010), 180-194.
pdf.
Discussion Paper - July 2007:
pdf,
ps.
"Exact confidence sets and goodness-of-fit test methods for stable distributions"
(with Marie-Claude Beaulieu and Lynda Khalaf),
Journal of Econometrics, forthcoming.
Discussion paper - October 2013:
pdf,
ps.
Mathematical notes (for reference only)
Properties of moments of random variables:
pdf,
ps.
Dufour, J.-M: (1980): "Dummy Variables and Predictive Tests for Structural Economics Letters, " 6 (1980), 241-247.
pdf.
Dufour, J.-M: (1982): "Generalized Chow Tests for Structural Change: A Coordinate-Free Approach",
International Economic Review 23, 1982, 565-575.
pdf.
Not required for the final exam.
Generalized least squares:
pdf,
ps.
Slides:
pdf,
ps.
Basic asymptotic theory:
pdf,
ps.
Slides: pdf,
ps.
Only for reference (notions used in other texts).
Asymptotic theory for linear regressions and IV estimation:
pdf,
ps.
Slides:
pdf,
ps.
Estimation of linear regression models with AR(1) errors:
pdf,
ps.
Seemingly unrelated regressions:
pdf,
ps.
Not required for the final exam .
Distributed lag models:
pdf,
ps.
Not required for the final exam.
Simultaneous equations:
pdf,
ps.
Only the definition of two-stage least squares is required.
Exercises
Covariance matrices:
pdf,
ps.
Due: Friday October 7, 2011, 12h00 (give to TA or put in my mailbox in Department of Economics). Note: Monday October 10, 2011 is a Holiday.
Prediction and regression:
pdf,
ps.
Due: Friday October 14, 2011, 12h00 (give to TA or put in my mailbox in Department of Economics).
Classical linear regression 1:
pdf,
ps.
Due: Friday October 27, 2011, 12h00 (give to TA or put in my mailbox in Department of Economics).
Empirical application: Canadian money demand.
pdf,
ps.
Data: money.data
Software
Mirza Trokic (2011). R: An Econometrician's Guide.
pdf
Data used in:
Boudjlellaba, H., Dufour, J.-M., and Roy, R. (1992),
"Testing Causality Between Two Vectors in Multivariate ARMA Models",
Journal of the American Statistical Association 87, 1992,1082-1090.
pdf.
Data - Seasonally adjusted data:
excel,
txt.
Seasonally unadjusted data: excel,
txt.
Data used in:
Dufour, J.-M.. Pelletier, D., and Renault, E. (2006),
"Short run and long run causality in time series: inference",
Journal of Econometrics, 132 (2006), 2, 337-362.
pdf.
Data: pdf,
excel,
txt.
.
Data used in:
Bernard, J.T., Dufour, J.-M, Khalaf, L., and Kichian, M. (2010),
"An identification-robust test for time-varying parameters in the dynamics of energy prices",
Journal of Applied Econometrics, forthcoming.
pdf,
ps.
Data:
coal and oi,
gas,
data description.
Data used in:
"Multivariate residual-based finite-sample tests for serial dependence and ARCH effects with applications to asset pricing models"
(with Lynda Khalaf and Marie-Claude Beaulieu),
pdf,
Journalof Applied Econometrics, , 25 (2010), 263-285.
ps.
Data: txt.
Special topics in econometrics (Economics 706), McGill University, Winter 2011
Course outline (Economics 706 / Winter 2011):
pdf,
ps.
Overviews
"General considerations on finite-sample inference in econometrics and statistics", 2002.
Slides:
pdf,
ps.
"Finite-sample inference and bounds methods in econometrics and statistics", 2002.
Slides:
pdf,
ps.
"Identification, Weak Instruments and Statistical Inference in Econometrics.
Presidential Address to the Canadian Economics Association",
Canadian Journal of Economics, 36, 4 (November 2003), 767-808.
pdf.
Discussion paper:
pdf,
ps.
Slides:
pdf,
ps.
"Finite-sample inference in econometrics and statistics", 2006.
Slides:
pdf,
ps.
"Finite-sample inference, weak identification and macroeconometrics", 2006.
Slides:
pdf,
ps.
"New Keynesian Phillips Curves, structural econometrics and weak identification", 2006.
Slides:
pdf,
ps.
"General considerations on finite-sample inference in econometrics and statistics", 2002.
Slides:
pdf,
ps.
"Finite-sample inference and bounds methods in econometrics and statistics", 2002.
Slides:
pdf,
ps.
"Identification, Weak Instruments and Statistical Inference in Econometrics.
Presidential Address to the Canadian Economics Association",
Canadian Journal of Economics, 36, 4 (November 2003), 767-808.
pdf.
Discussion paper:
pdf,
ps.
Slides:
pdf,
ps.
"Finite-sample ference in econometrics and statistics", 2006.
Slides:
pdf,
ps.
"Finite-sample inference, weak identification and macroeconometrics", 2006.
Slides:
pdf,
ps.
"New Keynesian Phillips Curves, structural econometrics and weak identification", 2006.
Slides:
pdf,
ps.
"General considerations on finite-sample inference in econometrics andstatistics", 2002.
Slides:
pdf,
ps.
"Finite-sample inference and bounds methods in econometrics and statistics", 2002.
Slides:
pdf,
ps.
"Identification, Weak Instruments and Statistical Inference in Econometrics.
Presidential Address to the Canadian Economics Association",
Canadian Journal of Economics, 36, 4 (November 2003),767-808.
pdf.
Discussion paper:
pdf,
ps.
Slides:
pdf,
ps.
"Finite-sample inference in econometrics and statistics", 2006.
Slides:
pdf,
ps.
"Finite-sample inference, weak identification and macroeconometrics", 2006.
Slides:
pdf,
ps.
"New Keynesian Phillips Curves, structural econometrics and weak identification", 2006.
Slides:
pdf,
ps.
"General considerations on finite-sample inference in econometrics and statistics", 2002.
Slides:
pdf,
ps.
"Finite-sample inference and bounds methods in econometrics and statistics", 2002.
Slides:
pdf,
ps.
"Identification, Weak Instruments and Statistical Inference in Econometrics.
Presidential Address to the Canadian Economics Association",
Canadian Journal of Economics, 36, 4 (November 2003), 767-808.
pdf.
Discussion paper:
pdf,
ps.
Slides:
pdf,
ps.
"Finite-sample inference in econometrics and statistics", 2006.
Slides:
pdf,
ps.
"Finite-sample inference, weak identification and macroeconometrics", 2006.
Slides:
pdf,
ps.
"New Keynesian Phillips Curves, structural econometrics and weak identification", 2006.
Slides:
pdf,
ps.
Économétrie des séries chronologiques et macroéconométrie / Time series and macroeconometrics (ECN 6238)
Université de Montréal, Hiver / Winter 2007
NOTES
Syllabus (ECN 6238, Hiver / Winter 2007):
pdf,
ps.
Introduction to time series analysis:
pdf.
/
Introduction à l'analyse des séries chronologiques:
pdf,
ps.
Histoire de l'analyse des séries chronologiques:
pdf,
ps.
Introduction to stochastic processes:
pdf,
ps.
/
Introduction à la théorie des processus stochastiques:
pdf,
ps.