Welcome to Time Series Econometrics! A detailed description of what we will cover can be found in the Course Outline.
I have uploaded some exercises (and old exam papers) with solutions.
I have also uploaded the group assignment.
The final exam will be: 25.04.2016 (Monday) at 16.15-18.00 in ROOM 09-011.
Access to the lecture notes is password protected.
|Topic 1:||Lecture Notes||Proof of Proposition 1|
|Topic 2:||Lecture Notes|
|Topic 3:||Lecture Notes|
|Topic 4:||Lecture Notes|
|Topic 5:||Lecture Notes|
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 from here.
New introduction to multiple time series analysis by Lütkepohl (2005) can be found here (on-campus access only).