Lectures on Time Series Econometrics
Junsoo Lee

Junsoo.Lee@Bus.Ucf.Edu

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Syllabus (pdf)


Note:  All copies of the pdf files are available at Room 325 (Department of Economics).


Lecture 1.

Stationary ARMA Models
 
Lecture 2.

Multiple Time Series Models
(VAR)
  • Lecture Note 2: tsnote2.pdf (410K)
  • Presentation Note 2
  • Practical Exercises
    • Use Eviews for the Impulse response analysis & innovation Accounting. (easy & powerful)
    Lecture 3.

    Spectral Analysis
     
    Lecture 4. 

    Non-stationary Time Series Models

    (Spurious Regression & Unit Root)
     
    Lecture 5.

    Regression with Non-stationary Time Series

    (Cointegration)
     
    • Practical Exercises (Using Eviews & RATS)
      • ECM Models
      • Johansen Cointegration tests
      • Other Cointegration tests
      • FM & CCR procedures (Gauss)


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