Advanced Econometrics

From Kevin Sheppard
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Place holder for material from the Trinity Term 2014 Advanced Econometrics Elective

Course Outline (Elective Presentation) Pdf small icon.png
Course Outline (Handout) Pdf small icon.png

Collected Slides

These downloads contain complete slide sets from the course split into two parts. The first covers material related to data snooping bias and multiple testing in the context of technical trading. The second covers forecasting methodologies that are suitable with large number of predictors.

Technical Trading: Fools Gold? Forecast Evaluation with Many Predictions Pdf small icon.png
Forecasting with Many Predictors Pdf small icon.png


Syllabus

Syllabus Pdf small icon.png

Assessments

Assignment 1 Pdf small icon.png
Assignment 1 Data Zip new.png - Note - You will need the password distributed in the course email to open the Excel file in this zip.
Assignment 2 Pdf small icon.png
Assignment 2 Data Zip new.png

Week 1

Lecture

Week 1 (Presentation) Pdf small icon.png
Week 1 (Handout) Pdf small icon.png
Week 1 (Markup) Pdf small icon.png


Readings

Chernick Ch 2 Pdf small icon.png
Chernick Ch 3 Pdf small icon.png
Chernick Ch 4 and 5 Pdf small icon.png
Lahiri Chs 2 and 7 Pdf small icon.png
Politis and White Pdf small icon.png
Patton, Politis and White Pdf small icon.png
Kreiss and Lahiri Pdf small icon.png

Week 2

Lecture

Week 2 (Presentation) Pdf small icon.png
Week 2 (Handout) Pdf small icon.png
Week 2 (Markup) Pdf small icon.png

Readings

Brown & Jennings (1989) Pdf small icon.png
Brock, Lakonishok & LeBaron (1992) Pdf small icon.png
Blume, Easley & O’Hara (1994) Pdf small icon.png
Sullivan, Timmermann & White (1999) Pdf small icon.png
Lo, Mamaysky & Wang (2000) Pdf small icon.png
Neely, Rapach, Tu & Zhou (2010) Pdf small icon.png
Han, Yang & Zhou (2010) Pdf small icon.png
Bajgrowicz & Scaillet (2012) Pdf small icon.png

Week 3

Lecture

Week 3 (Presentation) Pdf small icon.png
Week 3 (Handout) Pdf small icon.png
Week 3 (Markup) Pdf small icon.png

Readings

Elliott & Timmermann (2008) Pdf small icon.png
White (2000) Pdf small icon.png
Hansen (2005) Pdf small icon.png


Week 4

Lecture

Week 4 (Presentation) Pdf small icon.png
Week 4 (Handout) Pdf small icon.png

Readings

Romano & Wolf (2005) Pdf small icon.png
Hansen, Lunde & Nason (2010) Pdf small icon.png
Bajgrowicz & Scaillet (2012) Pdf small icon.png

MATLAB (Lecture)

Lecture 4 Demonstration Matlab small icon.png

Week 5

Lecture

Week 5 (Presentation) Pdf small icon.png
Week 5 (Handout) Pdf small icon.png
Week 5 (Markup) Pdf small icon.png

Week 6

Lecture

Week 6 (Presentation) Pdf small icon.png
Week 6 (Handout) Pdf small icon.png
Week 6 (Markup) Pdf small icon.png

Week 7

Lecture

Week 7 (Presentation) Pdf small icon.png
Week 7 (Handout) Pdf small icon.png
Week 7 (Markup) Pdf small icon.png

Week 8

Lecture

Week 8 (Presentation) Pdf small icon.png
Week 8 (Handout) Pdf small icon.png
Week 8 (Markup) Pdf small icon.png
Reduced Rank Regression Demonstration Code Matlab small icon.png - Shows how to compute reduced rank regression and the spectral version of regularized reduced rank regression in simulated data.