Economics 584Time Series Econometrics


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


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 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