• Syllabus

• Course project  

• Cochrane's Time Series Notes

• Bruce Hansen's online Econometrics book

• Writing tips (Cochrane)

• Matlab video tutorials +Time series with STATA + Eviews Tutorial+Gretl Tutorial

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

• Preliminaries (handout 0)

• Introduction (handout 1)

• ARMA processes (handout 2)
  

Assigments

• Problemset 1. Due: 25 April

• 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

• More on stationary processes.

Assignment

• Problemset 2. Due: 5 May

Recommended readings:

• On ARCH: Engle's 2003 Nobel's lecture. Some notes, Hamilton, Ch. 21. Stock and Watson, Ch. 16.5.

• Impulse response function, Chapter 5.3, Cochrane's book.

• Data for exercise 5.

• Introduction to nonstationary processes

Assignment

• Problemset 3. Due: 13 May

• Examples of Spurious regressions

• On Brownian motion:

• An interesting video
• A bit of history
• Brownian motion and finance
• Einstein's explanation of Brownian Motion

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

• Models with structural breaks: Hansen's survey

• VAR processes

Assignment

• Problemset 4. Due: 19 May

Recommended readings

• Hamilton, chapter 11

• Stock and Watson, JEP(2001)

• Luetkepohl (2011)

• Kilian (2011), On structural VARs

• Notes to estimate SVAR in Gretl

• Nonstationary VARs. Cointegration.

Assignment

• Problemset 5. Due: 30 May

Recommended readings

• Notes on estimation of dynamic causal effects. (Stock)

  Hamilton, chapter 19 and 20

• Johansen (short notes)

• Johansen again, (longer notes)

• Granger's Nobel prize lecture

• Watson, Handbook of Econometrics (94)