The following recitation notes are supplements to the lecture notes. Notes are courtesy of Paul Schrimpf, the course TA, and are used with permission.
Recitation files.
| REC # |
TOPICS |
| 1 |
Stationarity, autoregression moving average (ARMA), invertibility, covariances (PDF) |
| 2 |
Heteroscedasticity autocorrelation-consistent (HAC) (PDF)
Time series in MATLAB (PDF)
|
| 3 |
Filtering (PDF) |
| 4 |
Spectrum estimation, vector autoregression maximum likelihood (VAR ML) (PDF) |
| 5 |
Variance decomposition (PDF) |
| 6 |
Fundamentalness, testable factor-augmented vector autoregressive (FAVAR) restrictions, applications of factor models (PDF) |
| 7 |
Empirical process theory, random walk asymptotics (PDF) |
| 8 |
More empirical process theory, local to unity asymptotics, testing for breaks (PDF) |
| 9 |
Consumption, income, wealth and cointegration (PDF) |
| 10 |
Generalized method of moments (GMM) estimation of the New Keynesian Phillips Curve (NKPC) (PDF) |
| 11 |
Kalman filtering (PDF) |
| 12 |
Review of the asymptotics of extremum estimators, minimum distance, review of asymptotic normality, variance matrix estimation, hypothesis testing, asymptotics of simulated estimators (PDF) |