Lectures on Time Series Econometrics

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Lectures on Time Series Econometrics[size=+3]Econometrics
[size=+3]Junsoo Lee [size=+1][url=mailto:%20Junsoo.Lee@Bus.Ucf.Edu]Junsoo.Lee@Bus.Ucf.Edu[/url]

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[size=+1]Syllabus (pdf)

[size=+1]Note: All copies of the pdf files are available at Room 325 (Department of Economics).

[size=+1]Lecture 1. [size=+1]Stationary ARMA Models	[size=+1]Lecture Note 1: tsnote1.pdf (848K) [size=+1]Presentation Note 1 [size=+1]powerpoint: ts1.ppt (ppt, 48K) [size=+1]1 slide: ts1.pdf (15K) [size=+1]3 slides: ts1a.pdf (14K) [size=+1]Practical Exercises [size=+1]Example of spurious regression [size=+1]Box-Jenkins Approach [size=+1]Data: gnp82.txt or gnp82.dat: [size=+1]Program: “PEST” pest.zip (400K, use for evaluation purpose only) or “Eviews” [size=+1]"Pest" Handout: gnp82.pdf (pdf, 423K) [size=+1]Intervention Analysis [size=+1]Data: gnp82.txt or gnp82.dat [size=+1]Program: “RATS” gnp82.prg [size=+1]Handout: intervention.pdf (pdf, 190K) [size=+1]Supplement to Lecture 1 [size=+1]powerpoint: ts1_supp.ppt
[size=+1]Lecture 2. [size=+1]Multiple Time Series Models [size=+1](VAR)	[size=+1]Lecture Note 2: tsnote2.pdf (410K) [size=+1]Presentation Note 2 [size=+1]powerpoint: ts2.ppt (ppt, 47K) [size=+1]1 slide: ts2.pdf (30K) [size=+1]3 slides: ts2a.pdf (28K) [size=+1]Practical Exercises [size=+1]Use Eviews for the Impulse response analysis & innovation Accounting. (easy & powerful) [size=+1]RATS programs for VAR lag selections [size=+1]LR tests: varlr1.prg, varlr2.prg [size=+1]Information Criteria: varlag.prg [size=+1]Impulse Analysis: impulses.prg
[size=+1]Lecture 3. [size=+1]Spectral Analysis	[size=+1]Lecture Note 3: tsnote3.pdf [size=+1]Presentation Note 3 [size=+1]powerpoint: ts3.ppt [size=+1]1 slide: ts3.pdf [size=+1]3 slides: ts3a.pdf [size=+1]Example: [size=+1]spectrum of IP: ipspec.pdf [size=+1]Practical Exercises [size=+1]Market efficiency test (Goodness-of-fit test) [size=+1]goodness.prg (gauss program) [size=+1]data: sp500.prn [size=+1]Hannan's efficient estimator [size=+1]spec.pgm, spectrum.src, cumpdgm.src(rats program) [size=+1]data: gnpm1.dat
[size=+1]Lecture 4. [size=+1]Non-stationary Time Series Models [size=+1](Spurious Regression & Unit Root)	[size=+1]Lecture Note 4 [size=+1]tsnote4.pdf [size=+1]Presentation Note 4 [size=+1]powerpoint: ts4.ppt [size=+1]1 slide: ts4.pdf [size=+1]3 slides: ts4a.pdf [size=+1]Practical Exercises (Using Eviews & RATS) [size=+1]Unit Root tests [size=+1]BN decomposition [size=+1]bn.pgm or bn.pgm (RATS) [size=+1]bn.txt (description) [size=+1]data: gnp82.dat
[size=+1]Lecture 5. [size=+1]Regression with Non-stationary Time Series [size=+1](Cointegration)	[size=+1]Lecture Note 5 [size=+1]tsnote5.pdf [size=+1]Presentation Note 4 [size=+1]powerpoint: ts5.ppt [size=+1]1 slide: ts5.pdf [size=+1]3 slides: ts5a.pdf [size=+1]Practical Exercises (Using Eviews & RATS) [size=+1]ECM Models [size=+1]Johansen Cointegration tests [size=+1]Other Cointegration tests [size=+1]FM & CCR procedures (Gauss)