Econometrics II

We have briefly studied the application of the Bayesian Information Criterion in the context of ARMA models of unknown order. We considered the example of a simple indirect inference estimator for an invertible MA(1) model, via the use of a stationary AR(1) model and the corresponding OLSE as auxiliary model and estimator repectively. You can also find notes on the above here.

We have begun the study of conditional heteroskedasticity by providing a general definition. You can also find notes on the above here.