Teaching

Codes_UR.rar - Ox-код для процедур, предложенных в Harvey, D.I., Leybourne, S.J., and Taylor, A.M.R. (2008). Testing for Unit Roots in the Presence of Uncertainty over Both the Trend and Initial Condition. Granger Centre Discussion Paper No. 08/03, University of Nottingham. и Harvey, D.I., Leybourne, S.J., and Taylor, A.M.R. (2012). Testing for Unit Roots in the Presence of Uncertainty over Both the Trend and Initial Condition. Journal of Econometrics, 169, 188–195.

(Ox-code (with some modifications) provide the procedure for computing the HLT test statistics, proposed in above papers) ur_trend_initial.pdf - краткое описание процедуры HLT.

lect_ranepa - Лекция 1: "Новые подходы к тестированию наличия единичного корня" (lecture in Russian about unit root tests)

lect_ranepa_2 - Лекция 2: "Структурные сдвиги" (lecture in Russian about structural breaks)

lect_ranepa_3 - Лекция 3: "Эконометрический анализ сезонных временных рядов" (lecture in Russian about seasonal processes and seasonal unit roots)

ADF_quantiles_size_power.rar - Ox-коды для вычисления квантилей распределений тестов ADF-OLS и ADF-GLS с константой/константой и трендом, а также для вычисления размера и мощности указанных тестов (Ox-codes for computing the quantiles for ADF-OLS and ADF-GLS tests with constant/constant and trend, and also for computing size and power of these tests).