Wednesday, 13:30 -17:00 :: C-5c
Jacek Suda, Department of Quantitative Economics
The final exam will take place on June 18, 13:30-15:10, room A-117
Solutions to homework 1 and homework 2
Homework 2. Due date: May 8, 2019.
Homework 1. Due date: April 17, 2019.
Slides: ARMA models
Slides: State-space form; Kalman Filter
do-files: state-space model: StateSpaceStata.do; Kalman filter: StateSpaceKFStata.do
Slides: Short intro to Stata
Data: gdpq.prn; and do-file: time_series_stata.do
Slides: VAR models
Data: ffr_gdp.dta; and do-file: var_do.do
Slides: Unit Root; Structural Breaks; Unobserved Component Model;
The purpose of this course is to familiarize students with current techniques used in macroeconomic time series models with applications in macroeconomics, international finance, and finance; with the ultimate aim of providing students with the necessary tools to conduct original research in the area.
Topics include ARMA models, VARs and impulse response functions; unit roots, and structural breaks; spurious regressions; cointegration and VECM; ARCH models of volatility, and trend/cycle decomposition methods, including Kalman filtering.
We will mostly work with the classical framework in the time domain but will touch upon Bayesian and frequency domain frameworks.