Course materials for Applied Macroeconometrics
--Economics 82400-- Room C415 A and B
Syllabus (Updated Sept. 2007)
Lectures
1.Lag operators and stability conditions
2.Stationary time series models
Eviews Workfiles: USUK.wf , LKEdata.wk
Programs: whitenoise.prg , arma.prg
Lecture notes: Stationary Time Series (updated Sept.2007)
Homework 1, Data: HW1DataEnders.xls or HW1DataEnders.wf (updated Sept. 2008)
3.Trends and nonstationary time series models
Eviews Workfiles: BeveridgeNelson.wf , EndersData.wf
Lecture notes: Models with Trends and Nonstationary TS (October 2007)
Homework 2 (Due Sept. 26, 2008)
Homework 3: Referee Report (Due Oct. 10, 2008)
4. Multivariate models
Eviews Workfiles (Favero): ECM.wf , lszusa.wf, berlin.wf
Programs: dummies.prg
Lecture notes:
1. Stability Analysis in VAR systems (November, 2007)
2. Cointegration and ECM (October, 2007)
3.VECM: Johansen FIML Approach (December 2007)4.VAR (November,2007)
5. SVAR (December, 2007)
Announcements (Oct.3, 2008)
Exams