Welcome to Time Series Econometrics! A detailed description of what we will cover can be found in the Course Outline.
Nothing at the moment.
Access to the lecture notes is password protected.
|Topic 1:||Lecture Notes||Proof of Proposition 1|
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Here are some exercises with solutions and old exam papers with solutions.
|ARMA Exercises with solutions||Old Homework with solutions|
|Final exam 2010 with solutions||Final exam 2011 (no solutions)|
|Mid-term exam 2012 with solutions||Final exam 2013 with solutions|
I have uploaded the assignment below. Due Date: 22.04.2016.
|Assignment||Assignment Data (US real GDP)|
The Mathematical Review chapter from Hamilton (1994) you can get
Introduction to modern time series analysis by Kirchgässner and Wolters (2007) and (2013) can be found here and here (on-campus access only).
New introduction to multiple time series analysis by Lütkepohl (2005) can be found here (on-campus access only).