Morten Nyboe Tabor
Videos and screencasts for the Econometrics II course at the Economics program, University of Copenhagen.
The Efficient Generalized Method of Moments (GMM) Estimator
Consistency and Asymptotic Normality of the Generalized Method of Moments (GMM) Estimator
An Introduction to the Generalized Method of Moments (GMM)
An Introduction to GARCH Models
An Introduction to the Cointegrated VAR Model
Properties of an AR(1) Process with a Unit Root
The Moving Average Representation for an AR(1) Process with a Unit Root
Interpretation and Derivation of the ECM Model from a Stationary ADL Model
The ADL Model for Stationary Time Series: Long-run Multipliers and the Long-run Solution
Introduction to the Autoregressive Distributed Lag (ADL) Model: Stationarity and Dynamic Multipliers
How To Get Forecasts When Including Dummy Variables in Autoregressive Models in OxMetrics
Forecasting Based on a Univariate Autoregressive Model Using PcGive in OxMetrics
Estimation of Univariate Autoregressive (AR) Models in OxMetrics
The Characteristic Roots and the Stationarity Condition in an autoregressive model of order p, AR(p)
Model Selection in Autoregressive Moving Average (ARMA) Models
The Moving Average Model of Order q, MA(q)
Properties of the Estimator in the Linear Regression Model for Stationary Time Series
Estimating a Linear Regression Model for Stationary Time Series in OxMetrics
Loading, Transforming, and Plotting Data in OxMetrics
The Linear Regression Model for Time Series and the Method of Moments (MM) Estimator
An Illustration of the Conditional vs. Unconditional Expectation
An Introduction to Time Series and Stationarity
Introduction to the Course
Introduction to the Course
Single-Equation Cointegration Analysis Based on the ADL-ECM Model in OxMetrics
The Engle-Granger Two-Step Cointegration Analysis in OxMetrics
The Augmented Dickey-Fuller Unit-Root Test in OxMetrics
An Introduction to ARCH Models
An Outline of Cointegration Analysis Based on an ADL-ECM Model
An Outline of the Engle-Granger Two-Step Cointegration Analysis