Time Series Econometrics
Economics 513
Fall 2016

Taught by: Chris Sims

Contact information


Syllabus
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