Home
Syllabus
Homework
Notes
Announcements
Links 
Lecture Notes
Spring 2006 These are typed
versions of my lecture notes and class slides. They are not
guaranteed to be complete or free of errors. Comments are welcome.
Stationary Time Series
Estimation of ARMA Models
Forecasting
State Space Models and the Kalman Filter
Trend/Cycle Decompositions
Unit Root
and Stationarity Tests
Asymptotic distribution Theory
Structural Change
Nonlinear
Regime Switching Models
Multivariate Time Series and VAR Models
Structural VAR Models

svarslides.pdf. Class slides on
structural VAR models. Covers basic SVAR models for I(0) data. Updated May 10, 2006.

svarslides2.pdf. Covers SVAR
models for I(1) data that is not cointegrated (e.g. King and Watson's SVAR
for testing money neutrality) and SVAR models for combinations of I(0) and
I(1) data (Blanchard and Quah's SVAR). Updated May 22, 2006

structuralVarModelsPowerPoint.pdf. Powerpoint examples. Updated
May 22, 2006.
Regression with Nonstationary
Variables: Spurious Regression and Cointegration

cointegrationslides.pdf.
Class slides on introduction to cointegration. Covers residualbased
testing and estimation using regression methods. Updated: May 23,
2005.

cointegrationslides2.pdf.
Class slides on vector autoregressive models and cointegration. Covers
Johansen's methodology for testing and estimating cointegration models.
Updated: June 1, 2005.
Structural Cointegration Models
