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Introduction to Time Series Analysis and Forecasting

PhD in Economics, Spring 2018

INSEAD

 

 

 

 

 

 

 

 

 

Week 1

Problemset

  • 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

Problemset

  • Problemset 2. Due 23 May (first part), 25 May (computer practice.
  • This notes would be of help for the computer section.

Recommended readings:

 

Week 3

Assignment

Recommended readings:

 

 

Week 4

 

On Brownian motion:

On unit root testing

Models with structural breaks:

 

Week 5

Assignment

Recommended readings

  • Hamilton, chapter 11

 

 

 

Week 6

Non Stationary multivariate processes. Cointegration.

 

 

 

Recommended readings

Hamilton, chapters 19 and 20