Will There Be Jobs For All of Us Financial Econometricians? Ben Kallo Ben Kallo James Katavolos James Katavolos Luke Panzar Luke Panzar Ryan Carl Ryan.

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Presentation transcript:

Will There Be Jobs For All of Us Financial Econometricians? Ben Kallo Ben Kallo James Katavolos James Katavolos Luke Panzar Luke Panzar Ryan Carl Ryan Carl

Let’s look at Financial Jobs in the U.S. Economy Data gathered from the St.Louis Federal Reserve Data gathered from the St.Louis Federal Reserve Also includes jobs in the real estate and insurance fields Also includes jobs in the real estate and insurance fields Monthly Data from 1946 to 2003 Monthly Data from 1946 to 2003

Objective of Model Using a time-series model, we should be able to forecast the trend of jobs in the finance industry for at least the next six months. Using a time-series model, we should be able to forecast the trend of jobs in the finance industry for at least the next six months.

Total Jobs in the Finance Industry

Correlogram of FINJOBS Points to an evolutionary series

Histogram of FINJOBS

Dickey-Fuller Test for FINJOBS ADF stat confirms the presence of an evolutionary times series

Mission: Stationarity In order to make the series stationary (not dependent on time), we will perform a logarithmic transformation as well as difference the series. In order to make the series stationary (not dependent on time), we will perform a logarithmic transformation as well as difference the series. The new data set will be called: The new data set will be called:DLNFINJOBS

DLNFINJOBS The economic interpretation of DLNFINJOBS is the month over month percentage change in the number of jobs in the finance industry in the United States. The economic interpretation of DLNFINJOBS is the month over month percentage change in the number of jobs in the finance industry in the United States.

Line Graph for DLNFINJOBS Looks Stationary

Correlogram of DLNFINJOBS The structure in the ACF and the spike at lag 1 of the PACF suggest that we should use an ARONE model

Histogram of DLNFINJOBS

Dickey-Fuller Test of DLNFINJOBS Stationarity Confirmed

Model Output for DLNFINJOBS

Correlogram for Model

Next Model Output

Correlogram This new model only seems to create more structure, with spikes at lags 4,5, 10,11,13

Correlogram of Squared Residuals To see whether a ARCH-GARCH model is appropriate After running an ARCH-GARCH, the model did not improve

Now try: AR1,MA1,MA13 Again, this new model seems to add structure Again, this new model seems to add structure Final Conclusion: Final Conclusion: Our best model is our original one: AR1,MA1

Actual, Fitted, Resid for Model

Total Jobs in the Finance Industry 2003: : : : : : : : : : : : : : : : : : : :

Line Graph w/forecast to 2004

Conclusion Over the next ten months, the number of jobs in the finance industry should be increasing (according the model’s forecast), however at a decreasing rate. Interpretation: Can you say, “Do you want fries with that?”