Irfan Ahmed, PhD

Engle-Granger 2 step, and 1 step, estimation procedures Cointegration in Single Equations: Cointegration -   evidence of long-run or equilibrium relationships With cointegration the residuals from a regression are stationary. Tested informally and formally for cointegration                 Formal Tests include   (1) Cointegrating Regression Durbin Watson (CRDW) test   (2) Cointegrating Regression Dickey Fuller (CRDF) test     Summary of Lecture                 (1) Introduce Granger Representation Theorem.                                 - relates cointegration to Error Correction Models            ...

MODELLING VOLATILITY An Excursion into Non-linearity Land l   Motivation : the linear structural (and time series) models cannot explain a number of important features common to such financial data                 - leptokurtosis                 - volatility clustering or volatility pooling                 - leverage effects  l   Our “traditional” structural model could be something like:                   y t = b 1 + b 2 x 2 t + ... + b k x kt + u t, or more compactly   y = X b + u. Non-linear Models: A Definition l   Campbell, Lo and MacKinlay (1997) define a non-linear data generating process as one that can be written      ...