Central European University - Department of Economics

Advanced Time Series Analysis 2014

Course Information and Reading List

Lecture Notes

Exercises  

Data Sets

Reading

Exams

TSM installation

Time Series Modelling 4 Home Page

                    James Davidson's Home Page   

      


 

Lecture Slides

Slides will be posted for download here in advance of each lecture.   

 1. Basic Time Series Concepts 2, Stochastic Difference Equations
 3. Statistical theory and asymptotics 4. Estimating AR and MA Models
5. ARMA Models and Forecasting 6. Trends and Integrated Processes
7. Long Memory Models 8. ARCH and Other Nonlinear Models

 Top


Exercises

  Exercise 1
  Exercise 2
  Exercise 3
  Exercise 4
  Exercise 5     TSM Settings for Ex5
  Exercise 6     TSM Settings for Ex6
  Exercise 7

 Top


Data Sets

Dollar exchange rates, daily 1980-1996 (Datastream)  
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)  
 US consumption, asset wealth and disposable income, quarterly 1952-2006
(Sydney Ludvigson's website)
 
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)  

 Top

 

 

 Reading

The Econometric Modelling of Financial Time Series (3nd Ed.), T.C.Mills and R Markellos (CUP)    
Applied Econometric Time Series (3rd Ed.), Walter Enders (Wiley)  
Time Series Analysis, James Hamilton, (Princeton UP)  
 Econometric Theory    (password-protected PDF)  
 Stochastic Limit Theory   (password-protected PDF)  
Chapter 5 of Palgrave Handbook of Econometrics (PDF),    
TSM4 Documentation (PDF)  
Reading list on long memory (PDF)  
"When is a time series I(0)?" (PDF)  

 

Past Exam Papers

Exam Paper 2008

Exam Paper 2009

Exam Paper 2010

Exam Paper 2011

Exam Paper 2012

 

TSM

To install TSM,

                Username:     Central European University
                Key:               
705900316

 

 Top