Introduction to Time Series Analysis

• Syllabus

Main reference:

• Hamilton Book

   

Other useful references:

• Brockwell and Davis, Introductory book

• Brockwell and Davis, Advanced Book

• Time Series with Stata

   

And even more additional references:

• Cochrane's Time Series Notes

• Francis X. Diebold Forecastic and Time Series Books

• Bruce Hansen's online Econometrics book

• Links to economic data: NBER, S. Louis FRED, Economagic

• What's new in Time Series: NBER Summer Institute 2008

• Handout 1: Introduction; Univariate Stationary processes

• Handout 2: Estimation

STATA materials

• Lecture1.do: simulating time series data

• Lecture2.do: Regression with serially correlated residuals (see the link to DATA below)

• Lecture2_ARMA: fitting an ARMA model in STATA

• DATA

Readings

• Readings handout 1: Cochrane, Sections 2, 3.1, 3.2., 3.3 and 4 

   

• Handout 3: Multivariate Stationary processes

STATA materials

• Lecture2_VAR: simulate a VAR(2)

• VAR and data : VAR processes at work

Recommended Readings

• Stock and Watson, JEP(2001)

• Hamilton, chapter 11

• Luetkepohl (2011)

• Kilian (2011), On structural VARs

• Handout 4: Univariate non- Stationary processes

  Appendix

   

STATA materials

unit_roots.do: Running unit roots tests with STATA

Other interesting Stuff

• Examples of Spurious regressions

• On Brownian motion:

1. A bit of history

2. Brownian motion and finance

3. Einstein's explanation of Brownian Motion

• Good summary of unit root testing: Zivot's notes.

• Two important unit root test: Elliot et al. (1996) and Ng and Perron (2001)

• Models with structural breaks: Hansen's survey

• Handout 5: Multivariate non- Stationary processes

STATA materials

• Cointegration.do ; data

Recommended Readings:

• Some examples

• Mark Watson, Handbook of Econometrics