TopCentral European University - Department of Economics
Advanced Time Series Analysis*** Ox Console Installation File ***
Please note: these draft lecture notes are subject to amendment prior to the lecture. There may be additions, subtractions and corrections. Please check for updates.
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Exercise 1 |
| Exercise 2 | |
| Exercise 3 | |
| Exercise 4 | |
| Exercise 5 TSM Settings for Ex5 | |
| Exercise 6 TSM Settings for Ex6 | |
| Exercise 7 |
Dollar exchange rates, daily 1980-1996 (Datastream) |
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| Dow-Jones stock index, daily 1980-1994 | |
| US economic series, annual 1860-1988. (Nelson and Plosser JME 1982, extended) | |
| S&P prices dividends and earnings, annual, 1871-2007 (Robert Shiller's web site) | |
| S&P prices dividends and earnings, monthly 1871-2007 (Robert Shiller's web site) | |
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US consumption,
asset wealth and disposable income, quarterly 1952-2006 (Sydney Ludvigson's website) |
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| US GNP, quarterly 1951-1984 (Hamilton, Econometrica 1989) | |
| UK Political Party Support 1951-2000 (Byers, Davidson and Peel JRSS(A) 1997) | |
| River Nile Minima, annual 622-1284 (Hurst's Data, from Beran 1994) | |
| River Nile Minima, annual 1871-1970 (Cobb, Biometrika 1978) |