Time Series Econometrics

Professor F.X. Diebold

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

Conditional Variance Dynamics

More Simulation Methods and Applications

(Monte Carlo
Methods and Variance Reduction; Global Function Optimization;

Simulated
MM and Indirect Inference; Bootstrap)

Integration, Cointegration, and Long Memory

Office hours 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 March 12.)

Use monthly U.S. housing starts and completions data (detrended and
deseasonalized if necessary), reserving the last 12 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 12 hold-out observations and assess accuracy; using the full
dataset forecast the sample path for the next 18 months.

Final exam date: last day of
class (in class).

Problem Set 2 (Due on officially-scheduled final exam date.)

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

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