ECG752 Time Series Econometrics

ECG752 - Time Series Econometrics - Spring 2009

Instructor: Denis Pelletier
Office: 4162 Nelson Hall
Email: denis_pelletier@ncsu.edu
Web: http://www4.ncsu.edu/~dpellet
Office hours: Wednesday 10:30AM - 12:00PM, or by appointment.

You can download the syllabus.

Classroom material

Section 1: Matlab code and data used to produce graphs and compute autocorrelations.
Section 2
Section 3, ARMA: A copy of my lecture notes (12M file).
Section 4
Section 5, VARMA: A copy of my lecture notes.
Section 6, GMM: A copy of my lecture notes.
Section 7, Nonstationary data: A copy of my lecture notes.
Section 8, Volatility: A copy of my lecture notes.
Section 9, Kalman filter: A copy of my lecture notes.
Section 10

Matlab sessions

Session 1: Some code and data to do the most basic operations.
Session 2: Estimating a VAR model.
Session 3: Kalman filter

Problem sets and computer exercises

Problem set 1.

Computer exercise 1 and required data and Matlab code.

Problem set 2 and a hint for question 6.

Computer exercise 2 and required data.

Problem set 3.

Computer exercise 3 and required data and Matlab code.