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.
- Data sets for the exercise, in .RData and .txt forms, are here
- Exercise on Bayesian Basics
- Notes: ARMA models
- Notes: Wold decomposition
- Exercise due Thursday 10/14
- Code and data directories
- Answer for the exercise
- Notes on model comparison
- Posterior odds exercise, due Tuesday 10/25
- Notes on Granger Causal Priority
- Notes on the Kalman filter
- Notes on error bands for impulse responses
- Link to Sims/Zha error bands paper.
- Notes on structural VAR's
- Takehome final exam