Time Series Econometrics

Professor F.X. Diebold

Spring 2018

Welcome!

This course provides a Ph.D.-level introduction to econometric time-series
analysis.

Book, slides, code, etc. here. The slides
are the center of everything.

Some materials that we will use here. Useful books here. Useful software here.

Format: Lectures that stress
applied econometric theory.

Tentative Topics:

Time
Domain: The Wold Representation and its Approximation

Frequency Domain: The Spectrum and its Approximation

Markovian
Structure, State Space, and the Kalman Filter

Likelihood Evaluation and Optimization

Bayesian Posterior Analysis and Markov Chain Monte Carlo

Nonlinear/Non-Gaussian State Space

More Simulation Methods and Applications (Monte Carlo Methods, Bootstrap, etc.)

Integration, Cointegration, and Long Memory

Conditional Variance Dynamics

Office hours (held in McNeil 519) here.

Teaching assistants will be
heavily involved, including small-scale help by email and large-scale help in
weekly review/supplementary sessions. (Office hours and review session times
and locations, contact info, etc., to be announced.)

Grading: *N* problem sets
(each 60/*N* %) and a final exam ("practice prelim") (40%).
Good performance is crucially dependent on regular class preparation,
attendance and participation.

Problem Set 1 (Due February 22.)

Use monthly U.S. housing starts and completions data (detrended and
deseasonalized if necessary), reserving the last six observations for
out-of-sample forecast comparisons. Discuss all results as appropriate. First
graph the data. Then do the following. Model the two series jointly as a
VAR(4); Calculate the autocorrelation and spectral density functions implied by
your estimated VAR; Perform a Granger-causality analysis; Using Cholesky factor
identification, calculate and graph the full set of impulse-response functions;
Forecast the six hold-out observations and assess accuracy; using the full
dataset forecast the sample path for the next twelve months.

Problem Set 2 (Due last day of
class.)

Problem set is here. Also see the Federal
Reserve Bank of Philadelphia web site.

Final exam date: Standard
university date/time/location.

Note well that modifications and adjustments to this syllabus / web site are
inevitable and may be implemented at any time. Check frequently for updates.