Time Series Econometrics
Economics 513.2
Spring 2015

Taught by: Chris Sims

Contact information

New information is in red.

The course meets 1-2:30 Tuesdays, 1:15-2:45 Thusdays in Fisher B06.

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

Exercise on breaks
Code for the exercise
Notes on the Wold Decomposition
Notes: Hidden Markov Chains
Notes: cointegration
Notes on the Kalman filter
Notes on Granger causal priority
Notes on System Likelihood
Notes on Dynamic Factor Models
Notes on Bayesian and Frequentist Asymptotics
Notes on Seasonality
Review Questions
Take home final exam