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

Notes on Bayes basics.

Exercise on Bayes basics, due in class, on USB stick, Thursday 10/1

Exercise on bivariate linear time series model of unemployment and prices, now with answers

The data for the exercise and R software that you will probably want to use for it are in this directory. Though I have done all parts of the exercise except (10) myself, with this R software, it is still quite possible there are bugs, so report them to me promptly if you find them. The exercise is due in class Thursday, 10/29. However, if you have two or more midterms during that week, there will be no penalty if you are not ready to present results Thursday, but turn in the exercise by the following Monday.

Notes: ARMA models

Notes: cointegration

Notes: Error bands for impulse responses

Notes: Granger causal priority

Notes: Kalman Filter

Notes: Hidden Markov Chains

Notes: Markov Chain Monte Carlo

Notes: The Minnesota Prior</dt>

Notes: Model comparison

Notes on Seasonality

Notes on the frequency domain

Notes on SVAR's

Notes: Wold decomposition

Particle Filter exercise, due Tuesday 12/15

R code for the exercise, with pfexRWmet.R being the main script.

Take-home final exam. Due 9AM Wednesday, 1/13