Final project
Contents
Final project¶
deadline: May 27th
Description¶
The final project is to replicate, using Python, a published article containing interesting time series analysis.
I will provide a list of possible articles for you to consider, but you’re free to replicate others of your choosing. However, the original article should not be accompanied by code in Python. You will have to send me a brief description of what you propose to do, and I will approve each project. There can be no two projects replicating the same article, and the approval will be given on a first-come-first-served basis.
A list of possible replications studies¶
Identification and estimation of Gaussian affine term structure models
matlab - code in the authors’ web sites
Reconciled Estimates of Monthly GDP in the US
matlab
see also Improving GDP Measurement: A Measurement-Error Perspective
Local Projections and VARs Estimate the Same Impulse Responses
matlab
Empirical application only (DSGE application uses Dynare)
Alternative tests for correct specification of conditional predictive densities
matlab here
SPF (application)
Macroeconomic uncertainty indices for the Euro Area and its individual member countries
matlab here
SPF
-
matlab
Testing for Multiple-Horizon Predictability: Direct Regression Based versus Implication Based
matlab
Heterogeneity, Inattention, and Bayesian Updates
matlab
expectations
Uncertainty measures from partially rounded probabilistic forecast surveys
stata code
expectations (SPF)
Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions
matlab
Online replication materials in economic journals: