Applied Econometrics
Economics 515
Fall 2014

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.

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.
Website of last previous version of this course.