Economics 584:  Time Series Econometrics

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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

• stationaryTimeSeriesSlides.pdf. Class slides on univariate stationary time series models. Updated March 28, 2006

• stationaryTimeSeriesPowerPoint.pdf. Updated March 28, 2006

Estimation of ARMA Models

• boxjenkins.pdf.  Class slides on Box-Jenkins methodology.  Updated April 5, 2006.

• boxjenkinsPowerPoint.pdf.  Powerpoint examples. Updated April 5, 2006.

• armaestimation.pdf. Typed notes on estimation of ARMA models by maximum likelihood. Updated April 11, 2005.

Forecasting

• forecasting.pdf. Typed notes on forecasting covariance stationary models, and comparing forecasts using the Diebold-Mariano statistic.  Updated April 11, 2006.

• forecastSlides2panel.pdf.  Class slides on forecasting. Updated April 10, 2006.

• forecastSlidesPowerPoint.pdf.  Powerpoint examples. Updated April 10, 2006.

State Space Models and the Kalman Filter

• statespacemodels.pdf.   Typed notes on state space models and the Kalman filter. Updated April 12, 2006.

• stateSpaceModelsSlides.pdf.  Class slides on state space models and the Kalman filter. Updated April 17, 2006.

• stateSpacePowerPoint.pdf.  Powerpoint examples. Updated April 9, 2006.

Trend/Cycle Decompositions

• trendCycle.pdf.  Type lecture notes on trend/cycle decompositions. Updated April 18, 2006.

• trendCycleSlides.pdf. Class slides on trend/cycle decompositions. Updated April 23, 2006.

• trendCyclePowerPoint.pdf. Powerpoint examples. Updated April 19, 2006.

Unit Root and Stationarity Tests

• unitrootlecture.pdf.  Class slides on unit root tests. Updated April 23, 2006.

• unitrootlecture2.pdf. Class slides on unit root tests. Updated April 23, 2006.

• unitrootPowerPoint.pdf. Powerpoint examples. Updated April 23, 2006.

Asymptotic distribution Theory

• asymptoticsNonstationarySlides.pdf.  Class slides on asymptotics for nonstationary processes. Updated May 3, 2006.

Structural Change

Nonlinear Regime Switching Models

Multivariate Time Series and VAR Models

• multivariateTimeSeries.pdf.  Class slides on multivariate time series and VAR models. Updated May 10, 2006.

• multivariateTimeSeriesPowerPoint.  Powerpoint examples. Updated May 8, 2006.

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 residual-based 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