Find and carefully read the papers written by (i) Bollerslev, Engle, and Wooldridge (1988),
and (ii) Engle and Kroner (1995).
Find a
m-dimensional social science related time series data set with
m
≥ 6. Try to construct
VEC and DVEC models with a written report and analysis software code. Email your data
set and software code to your course instructor.
For the data set in Project 2, construct a BEKK(p, q) model, and compare and comment the
two results with a written report and associated software code. Email your report to your
course instructor.
Find a
m-dimensional natural science related time series data set with
m
≥ 6. Construct a factor
model for its variance–covariance matrix,
Σ
t, with a written report and analysis software
code. Email your data set and software code to your course instructor.