Econ 584 Final Project Topics

Last updated: April 2, 1998.

Final project description

Choose some test procedure, estimation method, computational algorithm etc. related to the topics covered in the course. For the chosen topic:

• Write a brief but complete description so that a practitioneer can easily understand and implement it.
• Write the appropriate GAUSS and/or EVIEWS code.
• Provide an example.

Example topics

• Elliot, Rothenberg and Stock unit root test
• Horvath-Watson cointegration test
• Simulation of asymptotic distribution of unit root statistics
• Levin and Lin panel data unit root tests
• Im, Peaseran and Shin panel data unit root tests
• Zivot/Andrews unit root test
• Phillips-Hansen fully modified OLS estimator
• Leyborne and MaCabe stationarity test
• Perron-Ng corrections to unit root tests
• Estimation of Clark's unobserved components model
• Variance ratio statistics
• Monte Carlo experiment to compute size and power of a particular test
• Diebold-Mariano forecast comparison statistic
• Hansen's covariate augmented unit root test
• Stock-Watson's coincident/leading indicator model
• Stock's confidence interval for the largest autoregressive component
• ADF test with data dependent lag length
• Threshold autoregressive model
• Smooth transition autoregressive (STAR) model
•  

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