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ID:12828259
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时间:2018-07-19
《learning by doing teaching econometrics students how to model multivariate time series data》由会员上传分享,免费在线阅读,更多相关内容在教育资源-天天文库。
1、LearningbyDoing:TeachingEconometricsStudentsHowtoModelMultivariateTimeSeriesDataThomasB.FombyDepartmentofEconomicsSouthernMethodistUniversityDallas,TX75275October,1998Abstract:Thispaperpresentsadecisiontreeapproachforteachingeconometricsstudentshowtoproperlymodelbivaria
2、tetimeseriesdatasets.StudentsaregivenMonteCarlodatasetsandareaskedtochooseoneoffourmodelstodescribethedata.Thedecisiontreetakesthestudentthroughvariouspre-testproceduresthathelpthestudentchooseacorrectmodel.TheconstructionoftheMonteCarlodatasetsandhowtheycanbeobtainedfr
3、omtheauthorarediscussedintheappendixofthepaper.“Ihear,Iforget;Isee,Iremember;Ido,Iunderstand”-ConfuciusI.IntroductionAsindicatedbytheabovequote,practiceisanimportantlearningtool.Ihavecertainlyfoundthistobetrueinteachingeconometricsstudentshowtomodelmultipletimeseriesdat
4、a.Giventherecentadventofunitroottests(e.g.DickeyandFuller(1979,81)),thepopularizationandthoroughderivationofthespuriousregressionproblem(GrangerandNewbold(1974)andPhillips(1986)),andtheintroductionoftheconceptofcointegrationbyGranger(1983)andEngleandGranger(1987),therea
5、renowmanymore“rulesandregulations”thatthestudentmustpayattentiontowhenproperlymodelingmultipletimeseries.ThispaperoutlinesamethodthatIhavesuccessfullyusedinteachingmultipletimeseriesmodeling.NumerousMonteCarlobivariatetimeseriesdatasetsaregeneratedthatexhibitmany,butcer
6、tainlynotall,ofthepossiblecharacteristicsofrealworldtimeseriesdata.StudentsarethenaskedtoanalyzetheirindividualMonteCarlobivariatetimeseriesanddetermineanappropriatemodelrepresentationofthedata.Ofcoursethestudentsdonotknowthetruedatageneratingprocess.Oncestudentsanalyze
7、theirindividualizedMonteCarloseriesandcommittoaspecificmodel,theyaretoldwhethertheyarecorrectornot.Iftheirrepresentationofthedataiscorrect,theyreceivepositivefeedbackandgainconfidenceintheirmodelingskills.Ontheotherhand,iftheirchosenrepresentationisincorrecttheyaretoldw
8、heretheywentwrongandhowtheycanavoidmakingthesamemistakesinthefuture.Thispracticeisrepeatedmanytimeswithdiffere
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