Scottish Graduate Programme in Economics
Taught by Niko Hauzenberger, Gary Koop and Ping Wu from the University of Strathclyde
Textbooks and Readings
The main textbook for the course is
Applied Economic Forecasting Using Time Series Methods by Eric Ghysels and Massimiliano Marcellino (Oxford University Press 2018)
A recommended textbook which covers much (but not all) of the course material is:
Analysis of Financial Time Series (3rd edition) by Ruey Tsay (Wiley, 2010)
My lecture slides are quite detailed and can be taken as another reading for the course. They are available below.
Lecture Slides
Nonlinear Time Series Models 1: Structural Breaks and Threshold Autoregression
Nonlinear Time Series Models 2: Markov Switching and TVP Models and Neural Nets
Factor Models 1: The Static Factor Model and Principal Components
Factor Models 2: Factor Models as State Space Models and the Dynamic Factor Model
Course Review and Exam Format Slides
Material for Computer Sessions are available on Ping Wu's teaching page.
Please download R and learn how to use it BEFORE for the first computer session. Instructions are provided in the file with name Lab0 which can be downloaded from Ping's teaching page.
Sample Exam
Last year's exam (with brief sketches of answers)
Note: the format of the 2025 exam will differ from the 2024 exam in that the 2025 exam will use R outputs instead of the Stata outputs used in the 2024 exam.