APPLIED ECONOMETRICS Lecture 2 – Research Projects. COME UP WITH AN IDEA. You need an idea for your research. This should be Easy to explain - you should be able to pitch this to the class in 2 minutes Interesting – we have to want to know the answer
Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.
The golden rule is try to get a draft done early
My experience as an academic, in the Treasury and managing projects with McKinsey is you rarely know future problems
So best is to take a quick run-through first – i.e. pull together the data, run some regressions and write up a basic draft
When you have done this you’ll know what is possible and what is not, and then can start to improve your project
Never break your project up by writing intro in weeks 1 to 3, data section in weeks 4 to 6, results in weeks 7 to 9……
I also think every project should have 1 page of figures and/or graphs motivating or highlighting the work
You need to get your audience interested and try to get the intuition of your work over as simply as possible
The best presentation starts with a graph presenting a new-fact which people want to know more about
Some examples of graphs I’ve used to follow:
Russia & LTCM
Gulf War II
Monetary turning point
Cuban missile crisis
Gulf War I
Annualized standard deviation (%)
Note: CBOE VXO index of % implied volatility, on a hypothetical at the money S&P100 option 30 days to expiry, from 1986 to 2004. Pre 1986 the VXO index is unavailable, so actual monthly returns volatilities calculated as the monthly standard-deviation of the daily S&P500 index normalized to the same mean and variance as the VXO index when they overlap (1986-2004). Actual and implied volatility correlated at 0.874. The market was closed for 4 days after 9/11, with implied volatility levels for these 4 days interpolated using the European VX1 index, generating an average volatility of 58.2 for 9/11 until 9/14 inclusive.
* For scaling purposes the monthly VOX was capped at 50 affecting the Black Monday month. Un-capped value for the Black Monday month is 58.2.
Change in annual growth in output per hour from 1990
95 to 1995
Increase in annual
1.2% in 1990
4.7% from 1995
around 2% a year
during the early and
3There was no acceleration of productivity growth in Europe in IT using sectors.
Source: O’Mahony and Van Ark (2003, Gronnigen Data and European Commission)