Time Series Econometrics

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  • Textbook Pages (incomplete, mostly Hamilton, to be updated in real time)

    705 review and dynamic extensions: Hamilton chs. 7-8
    Univariate linear time domain: Hamilton chs. 1-3
    State-space representations: Hamilton ch. 13, section 1
    Multivariate linear time domain: Hamilton chs. 10-11
    Simulation, Monte Carlo, bootstrap: Davidson and McKinnon, ch. 21
    Optimal prediction and likelihood evaluation: Hamilton, chs. 4-5, 13
    Numerical function optimization: Hamilton, ch. 5, sections 5.7-5.9
    Integration and cointegration: Hamilton chs. 15-20
    Volatility models, Hamilton ch. 21
    Frequency domain, Hamilton ch. 6
    Bayes and MCMC, Hamilton ch. 12
    Nonlinear/Non-Gaussian, Hamilton ch. 22

  • Problem Sets (incomplete, to be updated in real time)

    Problem Set 1
    Problem Set 2
    Problem Set 3

  • Readings (incomplete, to be updated in real time)

    Reading 1: SIms (1980)
    Reading 2: Stock and Watson (1988). Recent developments here.
    Reading 3: Diebold and Chen (1996). Slides here.
    Reading 4: Perron (1989)
    Reading 5: Diebold, Rudebusch and Aruoba (2006) (Slides here.)
    Reading 6: Andersen, Bollerslev, Diebold and Labys (2003) (Slides here.)

  • Econometrics Workshop (Monday 3:30-5)
    You should make a VERY strong effort to attend: Ghysels, van Dijk, Shephard, Boivin, Zha, Elliott.
    (Click here for schedule, papers, etc.)
  • Important Dates (incomplete, to be updated in real time, and subject to change):

    Midterm Exam March 24
    Final Exam (Prelim) May 15