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

Fisher: Likelihood Evaluation and Optimization

Simulation Methods and Their Application

Bayes: Posterior Analysis and Markov Chain Monte Carlo

Integration, Cointegration, and Long Memory

Nonlinear/Non-Gaussian State Space

Conditional Variance Dynamics

Time-Series Econometrics, Big Data, and Machine Learning

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 the monthly U.S. housing starts and completions data, 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.