MSc Time Series Econometrics, Spring 2015
Here is a short course I taught in my last year at Bristol. The objective is to get students to the point where they understand some of the basic tools in modern empirical macro, building from univariate time series topics, to multivariate vector autoregressions and factor models.
Part 1: Univariate time series processes, Maximum Likelihood estimation, Kalman Filter, stationarity
Lecture 1: Univariate time series processes: preliminaries
Lecture 2: Estimation and inference with an AR(1) via Maximum Likelihood
Lecture 3: The Kalman Filter
Part 2: estimating and identifying VARs, factor analysis, TVP-VARs, Bayesian time series econometrics
Note: lecture notes for ALL of part 2 posted at the end of this section.
Lecture 1: Introduction, motivation, technical preliminaries
Lecture 2: Structural identification of Vector Autoregressions
Lecture 3: Time-varying parameter VARs
Lecture 4: Intro to Bayesian time series econometrics
Lecture 5: Factor models and VARs
Revision lecture slides
Miscellaneous further resources