Time Series Econometrics
Taught by: Chris Sims
New information is in red.
Course Syllabus and Reading List
materials from last previous version of the course.
The course meets 9-10:30AM Tuesday and Thursday
in Fisher B-04.
Exercises, links to additional notes,
announcements about the course, etc. will appear here.
Notes on system likelihood
Notes on system roots and cointegration
Now (Jan 15) with simpler method for finding cointegrating vectors, additional example.
Midterm exam, with answers
Exercise on Markov Chain Monte Carlo, due Thursday, 11/20
Notes on Model Comparison
Notes on MCMC
Practice exercises if you missed number 4 on the midterm or still are puzzled by the "Helicopter Tour"
Notes on Asymptotics
Notes: Low Frequency Variation and Initial Conditions
Final Exam, with answers
- 2006 Decision theory lecture
- Exercise due Thursday, 9/18
- (Now including answers.) Though the MacKay assignment, plus what you should know before you start this course, should
allow you to complete the two problems in the exercise, the due date is Thursday instead of Tuesday
as originally announced. This will allow you to raise questions about it at the Tuesday lecture. Start
work on both problems before the Tuesday lecture, so you'll know whether you have questions.
- Kalman filter notes [error in regression formula fixed 9/29/08]
- Decision Theory Notes Non-Error
- In lecture I at one point said there must be an error on one slide. However, the slide is OK, just obscure.
This explanatory note tries to make the notation of this passage that confused me clearer.
- Exercise on Kalman Filter and Conditional Expectation, due Thursday, 10/2(Including answers.)
- Programs and data for the exercise in R versions and Matlab versions
- VAR estimation exercise, due Friday, 10/24. (Now with answers.)
- Programs useful for the exercise: R versions; Octave/Matlab versions.