Jing Li Associate Professor of Economics  Department of Economics Miami University Oxford, OH 45056 (513) 529-4393 lij14@miamioh.edu Official Webpage CV

Codes
"System-Equation ADL Test For Threshold Cointegration With An Application Using The Term Structure Of Interest Rates", Oxford Bulletin of Economics and Statistics, 2016 Codes and Data (A Zip File)
"ADL tests for Threshold Cointegration", Journal of Time Series Analysis, 2010 Matlab Code

• Eco 311 (R version): Examining Economic Data and Models, Syllabus, R Book, R codes for textbook, Statistics Table, Notation and Intuition

  Lecture 1	Slides	Codes	Video 1	Video 2	Video 3
  Lecture 2	Slides	Codes	HW 1	House Data	Video1	Video2	Old Exam 1	Key
  Lecture 3	Slides	Codes	HW 2	Video1	Video2
  Lecture 4	Slides	Codes	Video1	Old Exam 2	Key
  Lecture 5	Slides	Codes	HW 3	Wage Data	Video 1	Video 2
  Lecture 6	Slides	Codes	Gun Paper	Trade Paper	HongKong Paper
  Lecture 7	Slides	Codes	Smoke Data	Old Exam 3	Key	Video
  Project	Instruction	School Data
  Optional Reading	NCAA	LasVegas	CLT	TSTT	N Test	LAD	TIE	IV
  Optional Reading	Bootstrap	Matrix	315	Cluster	Panel Data	Logistic	Bayes

• Eco 672: Applied Time Series Analysis, Syllabus Textbook Website Cochrane's Notes

  Lecture 1: Introduction to Time Series

  Slide

  GDP Data

  R Book 1

  R Book 2

  R Book 3

  Lecture 2: Introduction to R

  Slide

  R Code 1

  R Code 2

  R Code 3

  SAS Code

  GDP Data

  House Data

  Lecture 3: Difference Equation

  Slide

  R Code 1

  R Code 2

  SAS Code

  HW1

  MarkovChain

  R Code 3

  GoldenRatio

  Eigenface

  PCA

  R Code 5

  Lecture 4: ARMA Models

  Slide

  R Code

  SAS Code

  CPI Data

  HW2

  Old Exam 1

  Answer Key

  Math Note

  Lecture 5: (G)ARCH Models

  Slide

  MLE

  R Code 1

  R Code 2

  WMT Data

  SAS Code

  DJ Data

  Engle Paper

  Engle Code

  Engle Data

  VAR

  HW3

  Lecture 6: Unit Root and ARIMA

  Slide

  R Code1

  R Code2

  GDP Data

  SAS Code

  Perron Paper

  Stock Paper 1

  HW4

  Forecasting ARIMA(1,1,1)

  R Code3

  Bayes Method

  Slide

  R Code

  Lecture 7: VAR

  Slide

  R Code

  SAS Code

  HW5 Data

  HW5

  Stock Paper 2

  Matrix Algebra

  Old Exam 2

  Key

  Violence

  Lecture 8: Cointegration

  Slide

  R Code1

  R Code2

  Data

  Empirical Project

  Instruction

  Hotel Data

  Forecasting

  Slide

  Codes

  Paper Data

  Spectral Analysis

  Slide

  Codes

  Hotel Data

  Slide2

  R Code2

  Extrapolation Mothod

  Slide

  R Code

  Kalman Filter

  Slide

  R Code

  Factor Models and PCA

  Slide

  R Code

  Data 1

  Data 2

  Data 3

  Breaks and Threshold Model

  Slide

  R Code1

  R Code2

  Johansen MLE Cointegration

  Slide

  R Code

  SAS Code

  Data

  Johansen Paper

  stata vec manual

  HAC Estimator

  Slide

  R Code

  Sinusoidal Model

  Slide

  R Code

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