G30 Topics in Economics (Applied Econometrics I)
| 1st | April | 14th | Guidance | |||
| 2nd | 21st | Bala | pp.162-178. | Autoregressive conditional heteroskedasticity, the generalized ARCH model, | ||
| 3rd | 28th | Xu | pp.188-202. | Family of exponential GARCH models, the autoregressive stochastic volatility model | ||
| GARCH-in-mean model, realized volatility | ||||||
| 4th | May | 12th | Bala | pp.202-218. | Multivariate GARCH models | |
| 5th | 19th | Xu | pp.219-231. | Linear state space models, time-varying parameter models, nonlinear state space models | ||
| 6th | 26th | Bala | pp.242-260. | Estimating parameters, additive models | ||
| 7th | June | 2nd | Cancelled | |||
| 8th | 9th | Bala | pp.279-293. | Long memory models, linear unit root models, vector autoregressive processes and linear cointegration, | ||
| nonlinear I(0) processes | ||||||
| 9th | 16th | Xu | pp.302-314. | Nonparametric estimation in a nonlinear cointegration type framework, stochastic unit root models, | ||
| optimization without derivatives | ||||||
| 10th | 23th | Bala | pp.329-345. | Density estimation, nonparametric regression estimation | ||
| 11th | 30th | Xu | pp.345-356. | Conditional mean forecasts from parametric models, forecasting with nonparametric models, forecast accuracy | ||
| 12th | July | 7th | Bala | pp.356-375. | The usefulness of forecasts from nonlinear models, overview of foracsting from nonlinear models, generalized impulse function, | |
| graphical representation, nonparametric and semiparametric models | ||||||
| 13th | 14th | Deng | CO2 emission, electricity consumption and GDP in Japan | |||
| 14th | 23rd | Katafuchi | Gerlach et al. (2000) Efficient Bayesian inference for dynamic mixture models, Journal of the American Statistical Association | |||
| 15th | 28th | Zheng | Tsutsui and Hirayama (2013) Are Chinese stock investers watching Tokyo?, Japanese Journal of Monetary and Financial Economics |