附件中是NBER2008年底组织两位国际计量牛人（James H. Stock和Mark W. Watson）组织主办开设的课程“What's New in Econometrics：Time series”的讲义，共十二个专题，都是pdf格式的文件。相信对希望了解时间序列计量经济学研究前沿的朋友们有用。
目录如下：
1.Frequency Domain Descriptive Statistics
2.The Functional Central Limit Theorem and Testing for Time Varying Parameters
3.Weak Instruments, Weak Identification, and Many Instruments, Part I
4.Weak Instruments, Weak Identification, and Many Instruments, Part II
5.The Kalman filter, Nonlinear filtering, and Markov Chain Monte Carlo
6.Specification and estimation of models with stochastic time variation
7.Recent Developments in Structural VAR Modeling
8.Econometrics of DSGE Models
9.Heteroskedasticity and Autocorrelation Consistent Standard Errors
10.Forecast Assessment
11.Forecasting and Macro Modeling with Many Predictors, Part I
12.Forecasting and Macro Modeling with Many Predictors, Part II