EC 821 Time Series Econometrics
Spring 2003, Prof. Baum
Downloadable Syllabus (pdf)
Midterm Exam: Monday 10 March
Final Exam: Friday 2 May, 9:00 AM
Notes (pdf)
Section 1, Part 1: Preliminaries
Section 2, Part 1: Stationary and nonstationary random variables
Section 3, Part 1: ARMA models
Section 4, Part 1: Nonstationary univariate time series
Section 5, Part 1: Unit root tests
Section 6, Part 1: Cointegration
Section 8, Part 1: Markov-switching VARs
Section 9, Part 1: Panel unit root tests
Section 10, Part 1: Spectral analysis
Section 10, Part 2: Fractionally integrated timeseries and ARFIMA modelling
Section 10, Part 3: Annotated bibliography on long range dependence
Section 11, Part 1: ARCH: Modeling volatility
Readings (pdf)
STS19: Multivariate portmanteau (Q) test for white noise
STS15: tests for stationarity of a time series
STS15.1: tests for stationarity of a time series: Update
STS18: A test for long--range dependence in a time series
STS16: Tests for long memory in a time series
Econometric modelling of Markov-Switching Vector Autoregressions using MSVAR for Ox
A package for estimating, forecasting and simulating ARFIMA models: ARFIMA package 1.0 for Ox
Problem Sets:
Introduction to Stata and Intermediate Stata (pdf slide shows)
Stata GradPlan site
The BCEC Statistical Software Component Archive of StataList contributions
Access to Economic and Financial Data at Boston College
BC Econ Guide to Information Resources
BC Econ Guide to Data Resources
You may send Prof. Baum an email message or contact him at 552-3673 (voicemail). Office hours scheduled by appointment.