Richard G. Pierse: Downloads

Main Page | WinSolve Home Page | Downloads | Pierse Family History Page | Flickr Photostream

---

Matlab Procedures

The following are various procedures written in matlab.

• lq.zip (zip file)
  Linear quadratic approximation procedures from Levine, Pearlman and Pierse (2007)

Lecture Handouts on Time Series Econometrics

These are handouts to accompany some lectures on assorted topics in time series econometrics. Hamilton (1994) would be an appropriate reference text.

• Unit roots
• ARIMA models
• VAR models
• Cointegration
• Structural Time Series Models
• The Kalman filter and Hamilton's model
• Gauss programs for the Kalman and Hamilton filters

Some old lecture notes on Gauss

These notes were written a few years ago and refer to Gauss version 3.x. Some of the information is therefore now a little out-of-date.

• An Introduction to Gauss
• Standard econometrics in Gauss
• Optimisation in Gauss
• Monte Carlo simulation in Gauss

Some lecture notes on Quantitative Methods

• Statistical Review
• Exercises
• Solutions
• Simple Linear Regression
• Multiple Regression
• Exercises
• Solutions
• Relaxing the Assumptions of the Linear Model
• Exercises
• Solutions
• Omitted Variables, Dummy Variables and Multicollinearity
• Exercises
• Solutions
• Dynamic Models
• Exercises
• Solutions
• Common Factor Tests and Stability Tests
• Nonstationarity, Unit Roots and Cointegration
• Econometric Methodology and Model Selection

Some lecture notes on Econometrics

• Review of Matrix Algebra
• OLS Estimation with Matrix Algebra
• GLS Estimation and the SURE Model
• Maximum Likelihood Estimation and Large Sample Tests
• Limited Dependent Variable Models: Logit and Probit
• Panel Data Analysis
• Simultaneous Equations Models: Identification, Estimation and Testing
• Granger Causality and Vector Autoregressive Models
• Cointegration in VAR Models
• Applied Demand Analysis

Some lectures notes on Financial Econometrics

• Autoregressive and Moving Average Processes
• ARIMA models
• ARCH and GARCH models
• Extending GARCH models and Stochastic Volatility models
• The Capital Asset Pricing Model
• Testing the CAPM model
• Long Memory and Fractional Integration
• Nonlinear models in Financial Econometrics
• Markov Switching models and Artificial Neural Network models

Some lectures notes on Macroeconomics

• The Solow Growth model
• The Solow Growth model with Technical Progress
• Growth with Land and Natural Resources
• Endogenous Growth
• Optimal Growth models
• The Traditional Keynesian model
• New Keynesian models
• Monetary Policy Credibility

Some lectures notes on Economic Forecasting

• Data files (zipped)
• Introduction to Forecasting
• Exercises
• Solutions
• Forecasting the Trend
• Exercises
• Solutions
• Characterising Cycles
• Exercises
• Solutions
• The ARMA model
• Exercises
• Solutions
• Forecasting Cycles
• Exercises
• Solutions
• Seasonality
• Exercises
• Solutions
• Macroeconomic Forecasting
• Exercises
• Solutions
• Evaluating Forecasts
• Exercises
• Solutions
• Smoothing Methods
• Exercises
• Solutions

Some lecture notes on Computer Programming

• Computers and Programming Languages
• Introduction to Liberty Basic
• Controlling Programs: Conditionals and Looping
• Structuring and Subroutines
• Graphics and Windows Programming
• Programming in Java
• Object-oriented Programming
• Writing Web Pages in HTML
• Writing Java Applets

Some lecture notes on Operations Research

• Critical Path Analysis
• Linear Programming 1
• Linear Programming 2
• Integer Programming
• Goal Programming
• Transportation and Network Problems
• Inventory Management
• Decision Making
• Markov Processes and Queuing Models

---