Taught by: Chris Sims and Mark Watson
Sims contact information
New information is in red.
Course Syllabus and Reading List
The course meets 1 to 2:30PM Tuesdays and 1:15 to 2:45PM on Thursdays, Room Fisher B01.
Exercises, links to additional notes,
announcements about the course, etc. will appear here.
Website of last previous version of this course.
- Notes on MCMC
- Note on model comparison
- Exercise on model comparison
- Due Tuesday, 9/23, except possibly part 5. You are to have a usb stick with your answer as a pdf file in class on 9/23 and to be
prepared to present and discuss your solution.
- Exercise on Bayesian time series regression
- Due Tuesday, 10/7. Data and code are here
- Notes on time series regression and model checking
- Notes on approximation by finite AR's, Wold representation.
- Notes on panel data with lags
- Notes on the Minnesota prior for VAR's
- Notes on initial conditions and estimated trends
- Directory containing VAR exercise, due Thursday, 10/23
- Notes on structural VAR's
- Directory for final exercise.