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Objective: The primary goal is to conduct a comprehensive study using time series econometrics. You have the flexibility to choose between two distinct paths:
- Replication Study: Replicate an existing paper in the field. This involves closely following the methodology and analysis of a selected study to verify its findings and understand the robustness of its conclusions.
- Methodological Extension: Alternatively, you can opt to add to an existing paper by applying a different time series method.
Main Topics
Maximum Likelihood Estimation
Autocorrelation
Univariate Time-Series Models
Forecasting
High-Frequency Data and Financial Time-Series Models
Spurious Regressions and Filtering Techniques
Unit Roots and Cointegration
Multivariate Time-Series Models
Binary Choice Models
Sheet1
| Economics Question | ||||||||||
| Historical data on Bangladesh Stock Returns | Historical Inflation Rate | |||||||||
| Date | Price | Open | High | Low | Vol. | Change % | Year | Inflation Rate (%) | Annual Change | |
| 11/29/23 | 6,218.54 | 6,218.54 | 6,218.54 | 6,218.54 | 0.25% | 2022 | 7.70% | 2.15% | ||
| 11/28/23 | 6,202.81 | 6,202.81 | 6,202.81 | 6,202.81 | -0.11% | 2021 | 5.55% | -0.15% | ||
| 11/27/23 | 6,209.44 | 6,209.44 | 6,209.44 | 6,209.44 | -0.39% | 2020 | 5.69% | 0.10% | ||
| 11/23/23 | 6,233.71 | 6,233.71 | 6,233.71 | 6,233.71 | 0.15% | 2019 | 5.59% | 0.05% | ||
| 11/22/23 | 6,224.47 | 6,224.47 | 6,224.47 | 6,224.47 | 0.04% | 2018 | 5.54% | -0.16% | ||
| 11/21/23 | 6,221.73 | 6,221.73 | 6,221.73 | 6,221.73 | -0.08% | 2017 | 5.70% | 0.19% | ||
| 11/20/23 | 6,226.56 | 6,226.56 | 6,226.56 | 6,226.56 | -0.49% | 2016 | 5.51% | -0.68% | ||
| 11/16/23 | 6,257.15 | 6,257.15 | 6,257.15 | 6,257.15 | -0.02% | 2015 | 6.19% | -0.80% | ||
| 11/15/23 | 6,258.18 | 6,258.18 | 6,258.18 | 6,258.18 | 0.20% | 2014 | 6.99% | -0.54% | ||
| 11/14/23 | 6,245.81 | 6,245.81 | 6,245.81 | 6,245.81 | 0.00% | 2013 | 7.53% | 1.31% | ||
| 11/13/23 | 6,245.81 | 6,245.81 | 6,245.81 | 6,245.81 | -0.42% | 2012 | 6.22% | -5.18% | ||
| 11/1/23 | 6,223.03 | 6,267.90 | 6,267.90 | 6,267.90 | -0.89% | 2011 | 11.40% | 3.27% | ||
| 10/1/23 | 6,278.66 | 6,272.94 | 6,272.94 | 6,272.94 | -0.09% | 2010 | 8.13% | 2.70% | ||
| 9/1/23 | 6,284.63 | 6,307.82 | 6,307.82 | 6,307.82 | -0.24% | 2009 | 5.42% | -3.48% | ||
| 8/1/23 | 6,299.50 | 6,338.77 | 6,338.77 | 6,338.77 | -0.40% | 2008 | 8.90% | -0.21% | ||
| 7/1/23 | 6,324.81 | 6,331.36 | 6,331.36 | 6,331.36 | -0.30% | 2007 | 9.11% | 2.34% | ||
| 6/1/23 | 6,344.09 | 6,355.56 | 6,355.56 | 6,355.56 | 0.07% | 2006 | 6.77% | -0.28% | ||
| 5/1/23 | 6,339.74 | 6,270.77 | 6,270.77 | 6,270.77 | 1.23% | 2005 | 7.05% | -0.54% | ||
| 4/1/23 | 6,262.69 | 6,213.45 | 6,213.45 | 6,213.45 | 0.90% | 2004 | 7.59% | 1.92% | ||
| 3/1/23 | 6,206.80 | 6,214.69 | 6,214.69 | 6,214.69 | -0.16% | 2003 | 5.67% | 2.34% | ||
| 2/1/23 | 6,216.95 | 6,277.18 | 6,277.18 | 6,277.18 | -0.80% | 2002 | 3.33% | 1.33% | ||
| 1/1/23 | 6,267.05 | 6,177.88 | 6,177.88 | 6,177.88 | 0.97% | 2001 | 2.01% | -0.20% | ||
| 12/1/22 | 6,206.81 | 6,245.38 | 6,245.38 | 6,245.38 | -0.47% | 2000 | 2.21% | -3.90% | ||
| 11/1/22 | 6,235.95 | 6,352.90 | 6,352.90 | 6,352.90 | -1.13% | 1999 | 6.11% | -2.30% | ||
| 10/1/22 | 6,307.34 | 6,518.35 | 6,518.35 | 6,518.35 | -3.19% | 1998 | 8.40% | 3.10% | ||
| 9/1/22 | 6,515.11 | 6,508.61 | 6,508.61 | 6,508.61 | 0.90% | 1997 | 5.31% | 2.93% | ||
| 8/1/22 | 6,457.22 | 6,300.11 | 6,300.11 | 6,300.11 | 5.27% | 1996 | 2.38% | -7.92% | ||
| 7/1/22 | 6,133.96 | 6,381.49 | 6,400.41 | 6,339.13 | -3.81% | 1995 | 10.30% | 4.98% | ||
| 6/1/22 | 6,376.94 | 6,412.15 | 6,524.88 | 6,291.96 | -0.25% | 1994 | 5.31% | 2.30% | ||
| 5/1/22 | 6,392.85 | 6,631.01 | 6,726.06 | 6,133.44 | -3.95% | 1993 | 3.01% | -0.62% | ||
| 4/1/22 | 6,655.66 | 6,757.83 | 6,789.90 | 6,422.46 | -1.51% | 1992 | 3.63% | -2.72% | ||
| 3/1/22 | 6,757.83 | 6,739.44 | 6,821.15 | 6,318.61 | 0.27% | 1991 | 6.36% | 0.23% | ||
| 2/1/22 | 6,739.44 | 6,926.29 | 7,118.40 | 6,663.95 | -2.70% | 1990 | 6.13% | 0.08% | ||
| 1/1/22 | 6,926.29 | 6,756.65 | 7,136.31 | 6,756.65 | 2.51% | 1989 | 6.05% | -1.37% | ||
| 12/1/21 | 6,756.65 | 6,703.25 | 7,055.46 | 6,610.17 | 0.80% | 1988 | 7.41% | -2.46% | ||
| 11/1/21 | 6,703.25 | 7,000.94 | 7,134.75 | 6,699.16 | -4.25% | 1987 | 9.87% | -2.46% | ||
| 10/1/21 | 7,000.94 | 7,329.03 | 7,410.62 | 6,841.29 | -4.48% | |||||
| 9/1/21 | 7,329.03 | 6,869.24 | 7,344.05 | 6,869.24 | 6.69% | |||||
| 8/1/21 | 6,869.24 | 6,425.25 | 6,923.00 | 6,425.25 | 6.91% | |||||
| 7/1/21 | 6,425.25 | 6,150.48 | 6,447.20 | 6,150.48 | 4.47% | |||||
| 6/1/21 | 6,150.48 | 5,990.98 | 6,156.59 | 5,938.98 | 2.66% | |||||
| 5/1/21 | 5,990.98 | 5,479.61 | 6,039.12 | 5,479.61 | 9.33% | |||||
| 4/1/21 | 5,479.61 | 5,278.16 | 5,525.58 | 5,080.40 | 3.82% | |||||
| 3/1/21 | 5,278.16 | 5,404.79 | 5,616.63 | 5,270.61 | -2.34% | |||||
| 2/1/21 | 5,404.79 | 5,649.86 | 5,684.58 | 5,313.22 | -4.34% | |||||
| 1/1/21 | 5,649.86 | 5,402.06 | 5,971.79 | 5,402.06 | 4.59% | |||||
| 12/1/20 | 5,402.06 | 4,866.84 | 5,407.10 | 4,866.84 | 11.00% | |||||
| 11/1/20 | 4,866.84 | 4,846.10 | 4,958.67 | 4,780.04 | 0.43% | |||||
| 10/1/20 | 4,846.10 | 4,963.29 | 5,014.25 | 4,803.58 | -2.36% | |||||
| 9/1/20 | 4,963.29 | 4,879.14 | 5,134.89 | 4,839.97 | 1.72% | |||||
| 8/1/20 | 4,879.14 | 4,214.42 | 4,952.85 | 4,214.42 | 15.77% | |||||
| 7/1/20 | 4,214.42 | 3,989.08 | 4,218.49 | 3,977.10 | 5.65% | |||||
| 6/1/20 | 3,989.08 | 4,060.44 | 4,102.76 | 3,952.47 | -1.76% | |||||
| 5/1/20 | 4,060.44 | 4,008.28 | 4,060.44 | 3,998.43 | 1.30% | |||||
| 4/1/20 | 4,008.28 | 4,008.28 | 4,008.28 | 4,008.28 | 0.00% | |||||
| 3/1/20 | 4,008.28 | 4,480.22 | 4,511.25 | 3,593.15 | -10.53% | |||||
| 2/1/20 | 4,480.22 | 4,469.65 | 4,826.57 | 4,374.67 | 0.24% | |||||
| 1/1/20 | 4,469.65 | 4,452.93 | 4,549.79 | 4,009.70 | 0.38% | |||||
| 12/1/19 | 4,452.93 | 4,452.93 | 4,452.93 | 4,452.93 | -5.89% | |||||
| 11/1/19 | 4,731.43 | 4,731.43 | 4,731.43 | 4,731.43 | 1.04% | |||||
| 10/1/19 | 4,682.90 | 4,682.90 | 4,682.90 | 4,682.90 | -5.35% | |||||
| 9/1/19 | 4,947.63 | 4,947.63 | 4,947.63 | 4,947.63 | -2.91% | |||||
| 8/1/19 | 5,095.77 | 5,095.77 | 5,095.77 | 5,095.77 | -0.84% | |||||
| 7/1/19 | 5,138.79 | 5,138.79 | 5,138.79 | 5,138.79 | -5.22% | |||||
| 6/1/19 | 5,421.62 | 5,421.62 | 5,421.62 | 5,421.62 | 0.82% | |||||
| 5/1/19 | 5,377.74 | 5,377.74 | 5,377.74 | 5,377.74 | 3.36% | |||||
| 4/1/19 | 5,202.85 | 5,202.85 | 5,202.85 | 5,202.85 | -5.26% | |||||
| 3/1/19 | 5,491.90 | 5,491.90 | 5,491.90 | 5,491.90 | -3.85% | |||||
| 2/1/19 | 5,711.82 | 5,711.82 | 5,711.82 | 5,711.82 | -1.88% | |||||
| 1/1/19 | 5,821.01 | 5,821.01 | 5,821.01 | 5,821.01 | 8.08% | |||||
| 12/1/18 | 5,385.64 | 5,385.64 | 5,385.64 | 5,385.64 | 1.98% | |||||
| 11/1/18 | 5,281.25 | 5,281.25 | 5,281.25 | 5,281.25 | -0.05% | |||||
| 10/1/18 | 5,284.12 | 5,284.12 | 5,284.12 | 5,284.12 | -1.58% | |||||
| 9/1/18 | 5,368.95 | 5,368.95 | 5,368.95 | 5,368.95 | -4.14% | |||||
| 8/1/18 | 5,600.64 | 5,600.64 | 5,600.64 | 5,600.64 | 5.62% | |||||
| 7/1/18 | 5,302.63 | 5,302.63 | 5,302.63 | 5,302.63 | -1.90% | |||||
| 6/1/18 | 5,405.46 | 5,405.46 |