Charles B. Moss • AEB 6571 Econometric Methods II
Introduction to Time Series
- Lecture XXXVII: Serial Correlation (April 18) .
- Readings
- *Greene, W.H. 2012. Econometric Analysis Seventh Edition. (Chapter 20 [Section 20.1 - 20.7 pp. 903 - 924]).
- Overheads , WMA Audio , MP3 Audio .
- Lecture XXXVIII: Stationary Time Series Analysis and Autocorrelated Conditional Heteroscedasticity (ARCH) (April 20) .
- Readings
- *Greene, W.H. 2012. Econometric Analysis. Seventh Edition (Chapter 20 [Section 20.10 - 20.7 pp. 930 - 938]).
- *Moss, C.B., J.S. Shonkwiler, and S.A. Ford. 1990. A Risk Endogenous Model of Aggregate Agricultural Debt. Agricultural Finance Review 50, 73-79.
- TimeSeries-LogDiff.csv , TimeSeries-Ident.R .
- Overheads , WMA Audio , MP3 Audio .
- Lecture XXXIX: Nonstationary Data (April 23) .
- Readings
- *Greene, W.H. 2012. Econometric Analysis Seventh Edition (Chapter 21 pp. 942 - 971]).
- *Davidson, R. and J.G. MacKinnon. 2004. Econometric Theory and Methods. Oxford University Press. (Chapter 14 pp. 605 - 644).
- *Johansen, S. 1995. Likelihood-Based Inference in Cointegrated Vector Autoregressive Model. Oxford University Press.
- Mishra, A.K., C.B. Moss, and K.W. Erickson. 2008. The Role of Credit Constraints and Government Subsidies in Farmland Valuation in the U.S.: An Options Pricing Model Approach. Empirical Economics 34(2), 285-297.
- *Moss, C.B. 2006. Valuing State Level Funding for Research: Results for Florida. Journal of Agricultural and Applied Economics 38(1), 169-183.
- *Moss, C.B. 1992. The Cost Price Squeeze in Agriculture: An Application of Cointegration. Review of Agricultural Economics 14(1), 209-217.
- *Moss, C.B. and A. Schmitz. 2002. Price Behavior in the U.S. Sweetener Market: A Cointegration Approach. Applied Economics 34(10), 1273-1281.
- Overheads , WMA Audio , MP3 Audio .
- Lecture XL: Nonstationary Data (April 25) .
