Time Series Analysis

Syllabus | Schedule | Links

Syllabus

Textbook

Hamilton, J. D., Time Series Analysis, Princeton University Press, 1994.

Schedule

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Abbreviations used in my lecture notes: iff (if and only if), s.t. (subject to), s.th. (such that), w.l.o.g. (without loss of generality), w.r.t. (with respect to), WTS (want to show).

Numbers in parenthesis are relevant sections in the textbook for reading assignments.

1. (10/6) Linear Difference Equations (1)
2. (10/13) Lag Operator (2)
3. (10/20) ARMA Sequences (3)
4. (10/27) Forecasting (4.1-4.4)
5. (11/10) Projection (4.5-4.6, 4.8)
6. (11/17) ML Estimation (5.1-5.7)
7. (11/24) Spectral Analysis (6)
8. (12/1) Asymptotic Theory (7.1)
9. (12/1) LLNs and CLTs for Dependent Sequences (7.2)
10. (12/8) canceled
11. (12/15) OLS for Dynamic Models (8)
12. (12/22) Simultaneous Equations Models (9)
13. (1/12) Vector Random Sequences (10.1-10.3)
14. (1/12) Multivariate Spectral Analysis (10.4-10.5)
15. (1/19) Uses of VAR Models (11)
16. (1/26) canceled
17. (2/2) Bayesian Analysis of VAR Models (12)
18. (4/14) State-Space Models and the Kalman Filter (13)
19. (4/21) GMM Estimation (14)
20. (4/28) Nonstationary Sequences (15)
21. (5/12) OLS for Trend Stationary Sequences (16)
22. (5/19) DF Tests (17.1-17.4)
23. (5/26) UR Tests (17.5-17.7)
24. (6/2) Multivariate Nonstationary Sequences (18)
25. (6/9) Cointegration (19.1-19.2)
26. (6/16) Cointegrating Regression (19.3)
27. (6/23) FIML Analysis of Cointegration (20)
28. (6/30) Volatility Dynamics (21)
29. (7/7) Markov-Switching Model (22)
30. (7/14)
31. (7/21)
32. (7/28)
33. (8/4) canceled

Links