Publications by Barci & Martínez
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Var(x) Corr(x, GNP) Corr(x_t, x_t-1) GNP 2.87 1.00 0.84 hours 3.46 0.81 0.91 C 1.49 0.46 0.81 I 52.80 0.70 0.80 w 1.69 0.08 0.84 TFP 0.96 0.42 0.77 Labor_Share 0.65 -0.11 0.73 r 0.00 0.40 0.76 ...
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"Classification Project in R - Death Probability
In this project, you have to predict the probability of death of a patient that is entering an ICU (Intensive Care Unit), programming in R. 1. Load libraries, data and user defined functions. To load all the libraries to be used we are using some code found on stack exchange to do it neatly. In addition, as in previous assigments, to avoid probl...
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Problem Set 1 - QSM II
Problem 1 From FREDII data base download the series GDPC1 (quarterly US real GDP). Transform the series in growth rates. Suppose that real GDP growth rates follow an AR(1) with constant such as: \[ y_t = c + \phi y_{t-1} + \varepsilon_t \] Where: \[\varepsilon_t \sim iiid N(0, \sigma^2) \] (a) Plot the series #Set key fredr_set_key("e257a9f35...
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Day 4 - Data preparation Team Lucia
In this project, you have to predict the probability of death of a patient that is entering an ICU (Intensive Care Unit), programming in R. 1. Load libraries, data and user defined functions To load all the libraries to be used we are using some code found on stack exchange to do it neatly. In addition, as in previous assigments, to avoid proble...
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PS3 - QSMII
Problem 1 (1) Create the spread as the difference between the long and the short rate. Create the growth rates of real GDP and the GDP deflator. Plot the series. First we download, transform and plot the series #Set key fredr_set_key("e257a9f359aec337958d438f38801b61") #Fetch the series dta <- fredr( series_id = c("GDPC1"), ob...
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Replicating Christiano, Eichenbaum and Evans (1998) Martínez & Lazennec 6/3/2021 In this project we will replicate the results obtained by CEE (1998). This paper starts with neat question: What happens after an exogenous shock to monetary policy? To so we will run a simplified VAR(p) with three variables as GDP growth, inflation, Federal Funds ...
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Replicating of Bernanke, Boivin and Eliasz (2005) Andrés Martínez & Hugo Lazzenec 13/3/2021 Introduction In this project we will try tro replicate the results of of Bernanke, Boivin and Eliasz (QJE, 2005) in R. This code drinks from the work of Gambetti, Konstantin Boss, Kevin Kotzé Helmut Lütkepohl, and Joao Duarte. The BBE (2005) suggested...
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TFM Exploratory Dataset
TFM Dataset Lucía, Cheche & Andrés 14/4/2021 Exploratory Analysis To get familiar with the dataset, it is useful to plot the different dimensions of the data so it would be easier for us to understand the underlying relationships. To do so, we may use the ExPanDaR library which is designed specifically to explore panel data. This is just a “...
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PS 4 - Advanced Time Series | Part 1 Mercedes Buades, Lucía Ibañez & Andrés Martínez 15/4/2021 Simulate AR(1) model using the Metropolis-Hastings algorithm. The estimation of posterior probability distributions using a stochastic process known as Markov chain Monte Carlo (MCMC). Here we’ll produce samples from the joint posterior without m...
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