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

Lecture 1, definitions

Lectures2-3, Conditional expectation, stochastic processes, filtrations, MA processes

Exercise due Monday, 10/3

Data in R binary format, as R ts object: ffr.Rdata

Data as a raw list of ascii numbers: FEDFUNDSbare.txt

Programming hints for the exercise

Exercise Answers

Lecture 8: filters, seasonality, linear regularity

Exercise Due Monday, 10/24

CPI, not SA, text file

CPI, SA, text file

CPI, SA and NSA, in an R ts object (use load(file="cpi.Rdata"))

R Program to help with spectral density and cross-spectral density estimation

R program to interpolate complex series (in case you want to put FT's with different lengths on the same plot, which is not essential for the exercise

Answers to spectral exercise

Lecture 11: AR, MA, ARMA models; the Kalman filter

Answers for the practice exercises

Midterm Exam (without answers)

Midterm exam with answers

The midterm without answers is just for those who didn't take the midterm and want to test themselves. The full text of the midterm is in the midterm-with-answers document.

Notes on Granger Causal Priority and Exogeneity

Notes on System Likelihood

Notes on Cointegration

Nonstructural VAR Exercise, due Wednesday, 12/7

data as text file

data as R ts object

R and Matlab VAR programs

Answers for exercise

SVAR notes

SVAR and Hidden Chain exercise,

Due Saturday 1/14 for grading by Tuesday 1/17, 1/17 for grading by the morning of 1/19. The exercise is required, but because it is coming out late, the penalty for not handing it in will be small. Instead of the usual scale of 0 for not handing in a credible try, 4-6 for OK- to OK+, the grade for not handing it in will be 3. There is no computer programming involved, and the exercise should help with exam preparation.

The exercise link now delivers the exercise along with the answers.

Updated Hidden Markov Chain Notes

These notes are almost identical to those you may already have downloaded from the 2000 course web site. The only change is a possibly clarifying intermediate equality in equation (8).

Final exam with answers

CDF of total scores and letter grades for the course

Notes on dummy observation priors for VAR's

Though these notes set an exercise "due 12/17" at the end, neither the notes nor the exercise were actually posted during the course. The notes cover material that was covered in lectures.