OUTLINE OF THE ECONOMTERIC(S) MODELS
List of Models.pdfTABLE OF INTEGRATION AND CO-INTEGRATION
INTEGRATION AND COINTEGRATION TABLE.pdfIn the below sections, I paste all my notes given in the Outline of the Economterics Models. Â My apologies for my awful handwriting.
It is just that the pen is not able to catch up wit the flow of ideas in my mind, sometimes. :)Â
MY NOTES ON UNIVARIATE MODELS
Univariate Modelling.pdfMY NOTES ON UNIT ROOT TESTS WITHOUT BREAKS
Unit Root Test Without Breaks.pdfMY NOTES ON UNIT ROOT TESTS WITH BREAKS
Unit Root.pdfMY NOTES ON VARIANCE AND AUTOCOVARIANCE
my notes on variance and autocovariance.pdfMY NOTES ON COINTEGRATION TEST WITHOUT BREAKS
MY NOTES COINTEGRATION WITHOUT BREAKS.pdfMY NOTES ON COINTEGRATION TESTS WITH BREAKS - 1
MY NOTES ON COINTEGRATION WITH BREAKS - 1.pdfMY NOTES ON COINTEGRATION TESTS WITH BREAKS - 2
MY NOTES ON COINTEGRATION WITH BREAKS - 2.pdfMY NOTES ON CAUSALITY
My Notes on Causality (2).pdfMY NOTES ON VAR MODELLING
My Notes on VAR.pdfMY NOTES ON STRUCTURAL VAR MODELLING - 1
My Notes on SVAR Models.pdfMY NOTES ON STRUCTURAL VAR MODELLING - 2
NOTES ON SVAR - PART 2.pdfMY NOTES ON FACTOR AUGUMENTED VECTOR AUTO REGRESSION (FAVAR) MODELS
MY NOTES ON FAVAR.pdfMY NOTES ON SMOOTH TRANSITION AUTO-REGRESSIVE (STAR) MODELS
MY NOTES ON STAR MODELS.pdfMY NOTES ON MARKOV PROCESS
MY NOTES ON MARKOV PROCESS.pdfMY NOTES ON ARTIFICAL NEURAL NETWORK MODELS
MY NOTES ON ARTIFICAL NEURAL NETWORK.pdfMY NOTES ON TESTS THAT DETECT NON-LINEARITY
MY NOTES ON DETECTING NON-LINEARITY.pdfMY NOTES ON THRESHOLD NON-LINEARITY
MY NOTES ON THRESHOLD NON-LINEARITY.pdfMY NOTES ON UNIVARIATE VOLATILITY MODELS
MY NOTES ON UNIVARIATE VOLATILITY MODELS.pdfMaterials provided are for Educational Use Only. All the notes are my sole Copyright.
SOFTWARE CODES
The E-Views Codes to run the Unit Root Breaking Test is here.
The codes for R for volatility Models is here.
The link to the paper titled "The R Package to Implement Threhold Regression Model" is here.
Some relevant links for codes for Markov Switching Models in R is here.
The E-Views codes for Perron (1989) is here.
The R codes for TAR can be found here.
The E-Views Code for running the Lumsdaine test is here.
ADDITIONAL READINGS
A brief walkthrough of the Univariute Time Series Models can be found on the slides here.
In Jae Mung publishes a succint paper on Maximum Likelihood Estimator in Journal of Mathematical Psychology. The link to the paper is here.
The link to the slides, taken from the NBER Summer Institute, titled Recent Development in Structural VAR Modelling is here.Â
Jonathon Shlens writes a paper titled A Tutorial on Principal Component Analysis explaining it in finer details. The link to the paper is here.
Jeremy Piger maintains notes on Bayesian Economterics in his webpage. The link is here.
Potter, S. (1999). Nonlinear time series modelling: An introduction. Journal of Economic Surveys, 13(5), 505-528. The link to the paper is here.
Quantative Macroeconomic Modelling with Stuctural Vector Autoregression. The link is here.
The Methods of Estimating the Output Gap can be found here.
The link to the paper titled Using BDS Test Statistics to detect Non Linearity can be found here.
Some excellent lecture notes can be found here.