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.

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.

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