Central European University

Central European University - Department of Economics

Advanced Time Series Analysis 2014

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

Exercises

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)

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

TSM

To install TSM,

go to http://www.timeseriesmodelling.com
Follow the instructions on the page, especially regarding the installation of Ox Console.
Following installation, start the program and register your copy (see Help menu).
The following code is good until the end of September 2014.

Username: Central European University
Key: 705900316