Research
A Brief Parable of Overdifferencing
January 2012. This is a short note, showing how money demand estimation works very well in levels or long (4 year) differences, but not when you first-difference the data. It shows why we often want to run OLS with corrected standard errors rather than GLS or ML, and it cautions against the massive differencing, fixed effects and controls used in micro data. It's from a PhD class, but I thought the reminder worth a little standalone note.
January 2012. This is a short note, showing how money demand estimation works very well in levels or long (4 year) differences, but not when you first-difference the data. It shows why we often want to run OLS with corrected standard errors rather than GLS or ML, and it cautions against the massive differencing, fixed effects and controls used in micro data. It's from a PhD class, but I thought the reminder worth a little standalone note.
Continuous time
Note covering dz, dt, stochastic integrals, and how to do all of Asset Pricing Chapter 1 in continuous time.
Note covering dz, dt, stochastic integrals, and how to do all of Asset Pricing Chapter 1 in continuous time.
Continuous-time linear models
Foundations and Trends in Finance 6 (2011), 165-219. How to do ARMA models, opreator tricks, and Hansen-Sargent prediction formulas in continuous time.
Foundations and Trends in Finance 6 (2011), 165-219. How to do ARMA models, opreator tricks, and Hansen-Sargent prediction formulas in continuous time.
Time series for macroeconomics and Finance
Lecture notes for PhD time series course. This revision finally includes the figures!
Lecture notes for PhD time series course. This revision finally includes the figures!
Writing tips for PhD students
May 2005. Some tips on how to write academic articles. Do as I say, not as I do. Chinese Translation, 2013. (Original source of chinese translation. Thanks to Shihe Fu)
May 2005. Some tips on how to write academic articles. Do as I say, not as I do. Chinese Translation, 2013. (Original source of chinese translation. Thanks to Shihe Fu)
Investments notes
Notes for MBA investments classes. Summary of background (statistics, regression, time series, matrices, maximization) and a concise treatment of some of the standard topics (bond notation and expectations hypothesis, bond pricing)
Notes for MBA investments classes. Summary of background (statistics, regression, time series, matrices, maximization) and a concise treatment of some of the standard topics (bond notation and expectations hypothesis, bond pricing)
Solving real business cycle models by solving systems of first order conditions
1993 Set of old lecture notes. Still, underground copies are circulating, so you can get a fresh one here.
1993 Set of old lecture notes. Still, underground copies are circulating, so you can get a fresh one here.