Disequilibrium econometrics in dynamic models

Disequilibrium in Housing Models

The housing and mortgage markets have long been considered to be markets that may not always be in equilibrium, and many econometric models of the housing and mortgage markets have tried in one way or another to account for disequilibrium effects. In this paper a critique of previous models of the housing and mortgage markets is made. The main argument of the paper is that disequilibrium effect...

Econometrics: Models of Regime Changes

ARCH/GARCH Models in Applied Financial Econometrics

Volatility is a key parameter used in many financial applications, from derivatives valuation to asset management and risk management. Volatility measures the size of the errors made in modeling returns and other financial variables. It was discovered that, for vast classes of models, the average size of volatility is not constant but changes with time and is predictable. Autoregressive conditi...

The Econometrics of Gravity Models

Gravity type models have often been used to analyse trade flows between countries and trading blocs. Previously however, these models were only applied to either cross-section data, or to single country time-series data, which imposed severe explicit (or implicit) restrictions on the specification of the model. Recently Gravity models have been generalised and adapted to a panel data setting, w...

Econometrics Lecture 9: Cointegration in VAR Models