Economics 706
Time Series Econometrics
University of Pennsylvania
Spring 2020

Professor Francis X. Diebold (Part I)
Professor Frank Schorfheide (Part II)

This site is for Part I.


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.

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.

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

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 and 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