Time Series Econometrics
Economics 513
Fall 2001
Taught by: Chris Sims Preceptor:  Giorgio Primiceri
Contact information
Contact information
New information is in red. 
Course Syllabus and Reading List

Link to materials from last year's version of the course.


The course meets 1-2:30PM Tuesday and Thursday in Fisher B-04. 

Exercises, links to additional notes, announcements about the course, etc. will appear here.

Answers to some questions on the 2002 econometrics general exam
The final exam link below has been updated to refer to a file that includes answers. A cdf for total point scores in course work, with the mapping to letter grades, is available.
Take-home final exam, Due Tuesday, 1/24 at 10AM
Structural VAR Notes
Unit Root Notes
These notes go a little bit farther than we did in class, in explaining the Sims-Stock-Watson paper results
SVAR exercise, due Thursday 12/13 in class
Answers to the problem set
programs and data
Midterm exam with answers
cdf of midterm grades
Exercise Due 11/27
Three problems, all computational, one using some data. There will be discussion in precept of how to get matlab to carry out the calculations.
Lecture note slides on Metropolis Algorithm
Notes on fundamentalness, plus exercise
Section on root-flipping revised 11/12/01. These notes discuss some issues relating to multivariate MA's that are not covered in the old "innovations" notes. The exercise is due 10/25.
Answers to the problem set.
m-files that would have been useful in solving problem 2:
multivariate root-flipper
auxiliary (tensor product) program called by the root-flipper
Corrected version of the notes on testing restrictions
Exercise due Thursday, 10/18
Exercise due Thursday, 10/11
Programs useful for the exercise: The data:
Exercise due Tuesday, 9/23