Time Series Econometrics - Spring 2005

• Lecture 1 (syllabus: full course)
• Lecture 1 (syllabus: local and global optimization)
• Lecture 1 (local and global optimization)
• Lecture 2 (syllabus: elements of linear time series in the time domain)
• Lecture 2 (elements of linear time series in the time domain)
• Lecture3-4 (syllabus: state space representations and optimal filtering)
• Lecture 3 (state space representations)
• Lecture 4 (optimal filtering)
• Lecture 5 (syllabus: simulation and bootstrap methods)
• Lecture 5 (simulation and bootstrap methods)
• Lecture 6 (syllabus: persistence, unit roots (integration) and cointegration
• Lecture 6 (persistence, unit roots (integration) and cointegration
• Lecture 7 (syllabus: volatility)
• Lecture 7 (volatility)
• PROBLEMS (due April 13, in class)

• Paper "Implied Volatility String Dynamics"

Time Series Econometrics by Chris Sims

Bayesian Basics

Structural VAR's

Dummy observation priors

Notes on comparing models

Exercise on model comparison, due Thursday, 11/14

Real GDP data

Answers to model comparison exercise"

Simple Markov Chain Monte Carlo Exercise, due Monday 12/9

Answers

Granger Causal Priority, Interpretations of Exogeneity

Hidden Markov chain notes (including an exercise from a previous version of the course)

Take-home final exam. There are two parts, to be downloaded separately, corresponding to the first and last halves of the course. Part 1 is worth 45 points, part 2 worth 135 points.

Part 1: pdf format MS word format

Part 2

Answers to part 2 of the final

CDF of total point scores

Introduction to Time Series Analysis

1. Definitions, Applications and Techniques
2. What are Moving Average or Smoothing Techniques?
   1. Single Moving Average
   2. Centered Moving Average
3. What is Exponential Smoothing?
   1. Single Exponential Smoothing
   2. Forecasting with Single Exponential Smoothing
   3. Double Exponential Smoothing
   4. Forecasting with Double Exponential Smoothing
   5. Triple Exponential Smoothing
   6. Example of Triple Exponential Smoothing
   7. Exponential Smoothing Summary
4. Univariate Time Series Models
   1. Sample Data Sets
   2. Stationarity
   3. Seasonality
   4. Common Approaches
   5. Box-Jenkins Approach
   6. Box-Jenkins Model Identification
   7. Box-Jenkins Model Estimation
   8. Box-Jenkins Model Validation
   9. SEMPLOT Sample Output for a Box-Jenkins Model Analysis
   10. SEMPLOT Sample Output for a Box-Jenkins Model Analysis with Seasonality
5. Multivariate Time Series Models
   1. Example of Multivariate Time Series Analysis

Time Series Analysis and Forecasting Techniques

MENU

• A Summary of Forecasting Methods
• How to Do Forecasting by a Regression Analysis
• Moving Average and Exponential Smoothing Methods (Fortran Codes)
• Winters' Method (Fortran Codes)
• Smoothing the Data (Interactive Fortran Codes)
• Transfer Functions Methodology
• Box-Jenkins Methodology
• Modeling Financial Time Series
• Census II Method of Seasonal Analysis
• SPSS Programs Listing for Trends and the Box-Jenkins
• SAS Programs Listing for Exponential Smoothing and Winters Methods
• Measuring for Accuracy (Interactive Fortran Codes)

Online Course/Notes http://ubmail.ubalt.edu/~harsham/stat-data/opre330.htm#rasofm A good, quick reference for basic information/definitions on time series analysis and forecasting.

Online chapter entitled "Likelihood Inference for Spatial Point Processes" http://www.stat.umn.edu/PAPERS/html_prints/points/points.html Contains useful information on Markov Chain Monte Carlo (MCMC) methods, as well as on Markov Chains and Likelihood-based estimation.

Bibliography/Book list http://earth.agu.org/revgeophys/lall01/node4.html This site provides an overview of literature on trend estimation, forecasting, and simulation methods in time series analysis. In addition to simply providing references, the site offers a short summary for each reference. Compiled by U. Lall of Utah State University.

Library of Time Series Data http://www.economagic.com/ Browsable library of time series data, including many major US time series, as well as time series from Japan, Canada, and Europe. Note: a subscription will allow subscribers to get any series in the Economagic database in an Excel file.

Macroeconomic Time Series Data http://www.fgn.unisg.ch/eumacro/macrodata/macroeconomic-time-series.html Collection of annual macroeconomic time series data for the US, Canada, Japan, and many European countries. The site includes web-based graphing capabilities. Data may be viewed and printed in text format.

Online Research Paper ftp://stat.ethz.ch/Research-Reports/87.html Bootstrap for Time Series by Peter Buhlmann, July 1999.

GEOS 585A, Applied Time Series Analysis

(Note: Spring semester 2005 Class will meet Tues/Thurs, 9AM)

• Instructor
• Course Catalog Description
• Overview
• Goals
• Prerequisites
• Other Requirements
• Availability
• Syllabus
  • Calendar
  • Data
  • Assignments
  • Readings
  • Grades
  • Course Outline
  • Lessons
• Download zipped files
• Tailoring the MATLAB Scripts
• View current notes and assignments (pdf files)

Multi-Equation Time Series Models

• VAR Analysis

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Question: Multi-Equation Time Series Models. VAR Analysis 楼主这个连接不好用，我打不开，请帮忙！

Answer: Original Author: Multi-Equation Time Series Models To Be Added.

Last updated: 01/04/2004

good, thanks for ur sharing!!!