SGPE: Advanced Time Series Econometrics
Scottish Graduate Programme in Economics
Professors Gary Koop and Niko Hauzenberger
E-mail: Gary.Koop@strath.ac.uk and Niko.Hauzenberger@strath.ac.uk
University of Strathclyde
The computer tutor for the course is Ping Wu .
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
Material for Computer Sessions
Exercise Sheet for Computer Session 1
Inflation Data for Computer Session 1
A Stata do file to get you started on Question 1
Exercise Sheet for Computer Session 2
Stock Return Data for Computer Session 2
GDP Growth Data for Computer Session 2
A do file to get you started on Question 1
A do file to get you started on Question 2
Exercise Sheet for Computer Session 3
Excess Returns for 13 Companies Data for Computer Session 3
A do file to get you started on Question 1
A do file to get you started on Question 2
A do file to get you started on Question 3
Exercise Sheet for Computer Session 4
Macroeconomic Data for Computer Session 4
A do file to get you started on Question 1
Sample Exam
Here is the sample exam with sketches of answers on it