Econometrics 2

Course Information:

Professor Christian BONTEMPS

Office MF 408

E-mail: christian.bontemps@tse-fr.eu

Website: http://chrisbontemps.free.fr/

Lecture

Tutorat

Course Announcements:

- (17 mar 2011) A revised pdf of potentially useful definitions and formulae has been posted under "Attachments" below.
- (15 mar 2011) A short pdf of potentially useful definitions and formulae has been posted under "Attachments" below. I will try to add a section on Brownian motion and post a revised version of the document prior to Friday.
- (13 mar 2011) Revised solutions to Tutorial 1 (Exercise 2.1) and Tutorial 2 (Exercise 1.2) have been posted under "Attachments" below.
- (3 mar 2011) Explicated solutions to some of the assigned exercises have been posted under "Attachments" below.
- (12 fév 2011) There will be an additional lecture on Monday 14 February and Monday 21 February. Both classes will be at 17h00 in Salle MC 201. There will be no metrics lectures after the break.
- (8 fév 2011) UC Berkeley's "Introduction to Time Series" course, available on Berkeley's website, and MIT's "Time Series Economics" course, available through MIT OpenCourseWare, offer relevant lecture notes and exercises. See "Relevant Course Resources" below.
- (6 jan 2011) Metrics tutorials on Friday, January 7 will be held in Salle ME 401. Metrics tutorials on Friday, January 14 will be held in Salle ME 404.
- (22 déc 2010) The Econometrics 2 course page is now online.

Relevant Course Resources

MIT has made freely available materials from its graduate course "Time Series Analysis", accessible via their website:

http://ocw.mit.edu/courses/economics/14-384-time-series-analysis-fall-2008/index.htm

Materials include lecture notes, tutorials (a.k.a. "Recitations"), some exercises, and a sample exam. (Thank you, Shivani, for recommending this link!)

UC Berkeley has also made available the lecture notes, exercises (with solutions), and exams (with solutions) from its statistics course "Introduction to Time Series" (fall 2010). The course website is accessible at the following URL:

http://www.stat.berkeley.edu/~bartlett/courses/153-fall2010/index.html

(Thanks to Adeline for recommending the site!)