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Introduction to Time Series Analysis

 

IDEA, Winter 2019

 

 

 

 

 

 

 

 

 

 

 

 

Week 1

Assigments

  • Gapminder

  • Readings handout 1: Cochrane, Sections 2, 3.1, 3.3 and 4

  • Readings handout 2: Cohrane, Sections 3.3 and 4.2

  •  To play a bit with ARMA processes, check these Applets

 

 

 

Week 2

Assignment

Recommended readings:

 

Week 3

Assignment

 

Week 4

 

Recommended readings

  • Hamilton, chapter 11

  • Luetkepohl (2011)

  • Kilian (2011), On structural VARs

  • Notes to estimate SVAR in Gretl

  • Cointegration: Hamilton, chapters 19 and 20