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Video for Econometrics II course at University of Copenhagen (Dept. of Economics). Original slides by Heino Bohn Nielsen and adapted by Rasmus Søndergaard Pedersen. We consider likelihood-based inference in VAR(k) models, and state sufficient conditions for consistency and asymptotic normality of the maximum likelihood estimator. The theoretical considerations are illustrated in an empirical ex...

Video for Econometrics II course at University of Copenhagen (Dept. of Economics). Original slides by Heino Bohn Nielsen and adapted by Rasmus Søndergaard Pedersen. We consider the characteristic roots for AR(2) processes. The roots may be complex-valued. Based on the roots, we state conditions in terms of the autoregressive parameters that ensure stationarity.

Crude way of obtaining news impact curve in OxMetrics.

Video for Econometrics II course at University of Copenhagen (Department of Economics). Original slides by Heino Bohn Nielsen and adapted by Rasmus Søndergaard Pedersen. We consider GMM estimation of the Consumption Capital Asset Pricing Model, similar to Hansen and Singleton (1982, Econometrica). The estimation is carried out using the GMM Package for OxMetrics.

We consider exporting estimation output from PcGive to LaTeX. The procedure does not work for multiple equation models (e.g. VARs) nor for estimation output obtained from the G@RCH and CATS modules. Video for Econometrics II course at University of Copenhagen (Department of Economics).

Introduction to multivariate GARCH. Specifically, the constant conditional correlation (CCC) GARCH. Original slides by Heino Bohn Nielsen and adapted by Rasmus Søndergaard Pedersen. Also, a short illustration of dynamic portfolio choice. Implementation in OxMetrics 8.00 using the G@RCH package. NOTE a typo @7:18: sigma(1,t)^2= ... Beta1*sigma(2,t-1)^2 should be sigma(1,t)^2= ... Beta1*sigma(1,t...

Video for the Econometrics II course at University of Copenhagen (Dept. of Economics). Original slides by Heino Bohn Nielsen and adapted by Rasmus Søndergaard Pedersen. Illustration of the CVAR model. Implementation using the CATS package for OxMetrics 8.00.

Video for the Econometrics II course at University of Copenhagen (Dept. of Economics) Original slides by Heino Bohn Nielsen and adapted by Rasmus Søndergaard Pedersen. Implementation of DF test with a deterministic trend in OxMetrics: th-cam.com/video/a9ZVyDbzoWQ/w-d-xo.html

In this video we consider efficient GMM estimation. We consider different choices of weight matrices, depending on the properties of the data generating process.

In this video we define the GMM estimator, and state high-level conditions for consistency and asymptotic normality of the estimator.

In this video, I give an introduction to GMM estimation. As examples of GMM estimators, I consider the well-known OLS and IV estimators in the linear regression model. UPDATE: Around 5:38, there is a typo in the expression for the function g_T, where the first y_t should be x_t. Hence, g_T is the time average of x_t(y_t - x_t'\beta).

In this video we consider how to estimate a GARCH model in OxMetrics.

In this video we derive the (conditional) likelihood function for the MA(1) model

We consider OLS estimation of the autoregressive parameter in the AR(1) model. Whenever the autoregressive paramter has true value between minus one and plus one, the OLS estimator is consistent.

Maximum Likelihood Estimation of the AR(1) Model