• Syllabus
• Relevant material:

            ** Graphical examples

            ** ARMA Models: data

            ** VAR Models: data, homework, Cooley and Dwyer (1998) paper, Sims paper

            ** Unit Roots: (Gauss code for power and size simulations), simulated data for exercises

            ** Trend Cycle Decomposition: data for BN decomposition

            ** Cointegration: Homework, Workfile

            ** Structural Change: Andrews test, Hansen test, Data simulation, dataset, EViews workfile

            ** (G)ARCH Models: Dataset, questions

            ** Regime Switching and Threshold Models

            ** State Space Form and Kalman Filters code

            ** Fractional Integration