[下载]Time Series Econometrics

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Econ840: Time Series Econometrics (Winter 2005)

Professor Ling Hu Office: Arps 403 Office hours: Wednesday 3 - 5 pm or by appointment Tel: 292-4198 E-mail: linghu@econ.ohio-state.edu

TA: Sang-Yeob Lee Email: lee.1621@osu.edu TA office hours: Tuesday 1 - 3 pm Office location: 321 Arps Hall Tel: 292-2087

Homework assignment 2

Announcement: Class on Feb 28 (Monday) canceled

Syllabus

Lecture 1: Introduction to stationary time series

Lecture 2: ARMA models

Lecture 3: Spectral analysis

Lecture 4: Asymptotic distribution theories

Lecture 5: Linear regressions

Lecture 6: Vector autoregressions

Lecture 7: Processes with deterministic trends

Lecture 8: Univariate processes with unit roots

Lecture 9: Multivariate unit root processes and cointegration

Lecture 10: Further topics

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关键词：econometrics Econometric Time Series metrics econom 下载 econometrics time Series

LEC #				LECTURE NOTES
	1				Introduction, Stationarity, Trends (PDF)
	2				ARMA Models, Projections, Partial Autocorrelations (PDF)
	3				Spectral Representations (PDF)
	4				Prediction and Wold Decomposition (PDF)
	5				Estimation and Specification Testing (PDF)
	6				VAR's (PDF)
	6				Additional Results for VAR's (PDF)
	7				Unit Root Asymptotics and Unit Root Tests (PDF)
	8				Cointegration (PDF)
	9				GMM Estimation (PDF)

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