learning by doing teaching econometrics students how to model multivariate time series data

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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