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Time Series Analysis >> Content Detail



Recitations



Recitations

The following recitation notes are supplements to the lecture notes. Courtesy of Paul Schrimpf. Used with permission.


REC #TOPICS
1Stationarity, autoregression moving average (ARMA), and covariances (PDF)
2Time series in MATLAB®, spectral analysis, and filtering (PDF)
3Filtering, Christiano-Fitzgerald, and Hodrick-Prescott (PDF)
4Vector autoregression (VAR) and maximum likelihood (ML) (PDF)
5Variance decomposition, Kilian (1998) - Bootstrap after Bootstrap, Beaudry and Portier (2006) (PDF)
6Testable factor-augmented vector autoregressive approach (FAVAR) restrictions and applications of factor models (PDF)
7Lecture review, random walk asymptotics, and with drift (PDF)

 








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