Time Series Econometrics
Taught by: Chris Sims
Link to last previous version of the course
New information is in red.
The course meets 9-10:30 Tuesday and Thursday in Fisher B06.
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