GSE Times Series and Forecasting 2016

TA 1-3: Writing functions in Matlab: syntax, single output, multiple outputs, advanced tricks and tips. Multidimensional arrays (MDAs): generating tensors, operations, reshaping and rotating MDAs.Slides: Class 1 Class material: download class 1Homework: HW1, polyinv.m, polyinvExamples.m

Classwork: OLSexercise, myOLS, CW1

TA 4: Problem set 1. Univariate Time Series: AR(p), MA(.), ACF, lag polynomial roots.

Solutions: PS1solutionsUpload

TA 5-6: Problem set 2. Univariate Time Series: Forecasting, MSFE, compare forecasting performance.

Solutions: PS2solutionsUpload

TA 7-8: Introduction to multivariate Times Series: Multidimensional arrays (MDAs), Companion form representation, SUR representation, invert a matrix in the lag operator.

Slides: Class 7

Class material: download class 7

Classwork: SUR, LagMatrixInv, CW1gse

TA 9: Problem set 3. Multivariate Time Series: VAR(p), Forecasting, MSFE, impulse responses, bootstrap.

Solutions: PS3solutionsUpload

TA 10: Problem set 4. Structural VAR, impulse responses, bootstrap, long/short run exact restrictions.

PDFs: PS4solutions , Orthogonal Shock

Solutions: PS4solutionsUpload