Resources | Time Series Analysis | Economics

Course Info

Instructor

Prof. Anna Mikusheva

Departments

Economics

As Taught In

Fall 2013

Level

Graduate

Topics

Learning Resource Types

Lecture Notes

Problem Sets

Instructor Insights

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Lecture Notes

Lecture Notes 1: Stationarity, Lag Operator, ARMA, and Covariance Structure

Lecture Notes 2: Limit Theorems, OLS, and HAC

Lecture Notes 3: More HAC and Intro to Spectrum

Lecture Notes 4: Spectrum

Lecture Notes 5: Spectrum Estimation and Information Criteria

Lecture Notes 6: GMM

Lecture Notes 7-8: Weak IV

Lecture Notes 9: Bootstrap

Lecture Notes 10: Introduction to VARs

Lecture Notes 11: VARs

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Recitations

Recitation 1

Recitation 2

Recitation 2: Time Series in Matlab

Recitation 3

Recitation 4

Recitation 5

Recitation 6

Recitation 7

Recitation 8

Recitation 9

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Lecture Notes

Recitations