Mondays, :: A-113 11:40 - 15:10
Jacek Suda, Department of Quantitative Economics
- Take home exam. Due date: 21.06.
If you handwrite the homework send me a photo/scan of the exam and leave the paper version in building M room 228 (KAE KEI).
Good Luck !!
- Solutions to Homework 1 and Homework 2.
- Homework 1. Due date: May 14, 2018.
- Homework 2. Due date: June 4, 2018.
Slides: ARMA models
Slides: State-space form; Kalman Filter
Slides: VAR models
Slides: Short intro to Stata
Data: gdpq.prn; and do-file: time_series_stata.do
Data: ffr_gdp.dta; and do-file: var_do.do
Slides: Unit Root; Structural Breaks; Unobserved Component Model;
Slides: Cointegration, VECM;
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.