Time Series Econometrics
Economics 513
Fall 2015

Taught by: Chris Sims

Contact information

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