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ECON 872: Time Series Analysis

Fall 2006

Syllabus

Homework

Homework 1 Data

Homework 2 Data

Midterm 1 Data

Homework 3 Data

Midterm Data

Gauss Resources

Mark Watson’s gauss tutorial

Felix Ritchie's "Gauss - A Beginner's Guide", some basic info on using Gauss

A collection of Gauss programs

Matlab Resources

A toolbox of econometric procedures by James LeSage

Programs (and advice) to automatically convert Gauss programs to Matlab (and vice versa)

Example Programs needed for this class

All programs are Gauss Programs (windows version) except where noted otherwise

VARs, (the Gauss and Matlab programs were 'borrowed' from Dean Corbae's webpage)

Gauss program to estimate VAR, Caculate IRF

Matlab program to estimate VAR, Caculate IRF

RATS Program for estimating VARs, testing lag length, Granger Causality, IRFs and Variance Decomps

Procedure to Estimate VAR with Minnesota Prior

Miscellaneous Procedures:

Autocorrelation function of an AR(p) model

Simulate an ARCH(1) model

HAC Covariance Matrix Estimation

Newey-West (1987, Econometrica) Errors

Den-Haan and Levin's (2000) procedure for VAR estimation of HAC Covariance Matrix

An example program to call Den-Haan and Levin's procedure

Maximum Likelihood Estimation:

Estimate a MA(1) Model

Estimate an ARCH(1) Model

Spectral Analysis:

Spectrum of an MA(1)

Spectrum of an AR(1)

Spectrum of an AR(P)

fgain1.prg (calculate gain of two filters)

ar1fspec.prg (graph spectrum and time series of AR(1) along with 1st difference of an AR(1))

bpexam1.prg (decompose an AR(1) into 32 orthogonal components, and graph)

bpexam2.prg (illustrate approximation error in band-pass filter by looking at tranfer function of filters)

spvar.prg (calculate spectrum based on an estimated var, plot spectrum, co-spectrum, gain and coherence)

Procedures called by 4 programs directly above:

spectrum.src (calculate spectrum of a time series using maximum entropy methods)

filtk.src (band-pass filter procedure)

fweights.src (calculate filter weights of band-pass filter)

bpassf.src (band-pass filter data using frequency domain filters)

Also of interest to this class:

bpass.src (band-pass filter data using the Baxter-King time-domain filters)