Topics in Time-Series Econometrics
Classes for the Topics in the Time Series Analysis
by Massimiliano Marcellino
spring 2008, EUI
First class: Monday, February 25, 2008 at 11.00 a.m.
Introduction to Gauss
Comments:
If you missed the class, ask for printouts
You can find all the files on the H: drive under the folder GAUSS
Second class: Monday, March 3, 2008 at 3.00 p.m.
1. Band-pass filter (Watson (2007))
2. Local projections (Jorda (2005))
Comments:
We go through the papers and the programs
Handouts available also at the course folder on the H drive
You can work in pairs for the problem sets! Let me know who are working together and which time-series you selected! Maximum two pairs (of students) can work on the same country GDP)!
The second problem set is actually problem set 1, it is a typo
Third class: Friday, March 14, 2008 at 3.00 p.m.
1. Comments on the PS#1
2. Finish with the local projections
Comments:
We went through PS#1
Fourth class: Monday, March 17, 2008 at 11.00 a.m.
1. LSTAR
Something about numerical optimization
Stock and Watson (1999) paper on forecast comparisons
MS VAR (very shortly)
Comments:
If you cannot come, ask me for the materials
Fifth class: Thursday, March 27, 2008 at 9.00 a.m.
1. ML estimation of DSGE models (Ireland (2001))
2. ML estimation of factors (Stock and Watson (1991)
3. Eigenvalue-eigenvector decomposition in estimating factors (Stock and Watson (2005))
Comments:
Handed out problem set 3. Deadline is April 11, 2008 at noon.