European University Institute Economics
· CV · Teaching · Home		Massimiliano Marcellino Topics in Time Series Analysis First class: Monday, February 25, 2008 at 11.00 a.m. Introduction to Gauss Comments: If you missed the class, ask for printouts You can find all the files on the H: drive under the folder GAUSS Second class: Monday, March 3, 2008 at 3.00 p.m. 1. Band-pass filter (Watson (2007)) 2. Local projections (Jorda (2005)) Comments: We go through the papers and the programs Handouts available also at the course folder on the H drive You can work in pairs for the problem sets! Let me know who are working together and which time-series you selected! Maximum two pairs (of students) can work on the same country GDP)! The second problem set is actually problem set 1, it is a typo Third class: Friday, March 14, 2008 at 3.00 p.m. 1. Comments on the PS#1 2. Finish with the local projections Comments: We went through PS#1 Fourth class: Monday, March 17, 2008 at 11.00 a.m. 1. LSTAR Something about numerical optimization Stock and Watson (1999) paper on forecast comparisons MS VAR (very shortly) Comments: If you cannot come, ask me for the materials Fifth class: Thursday, March 27, 2008 at 9.00 a.m. 1. ML estimation of DSGE models (Ireland (2001)) 2. ML estimation of factors (Stock and Watson (1991) 3. Eigenvalue-eigenvector decomposition in estimating factors (Stock and Watson (2005)) Comments: Handed out problem set 3. Deadline is April 11, 2008 at noon. USEFUL GAUSS LINKS GAUSS home Complete user guide 8.0, 462 pp. Language Reference 8.0, 1042 pp. Example: Basic commands (sample.g) Example: OLS (sample2.g) A short introduction to GAUSS by Søren Leth-Petersen, 14 pp. Good coverage of Gauss commands by Eduardo Rossi, 165 pp. A link to GAUSS resources Additional GAUSS resources Frances and van Dijk "Non-linear time series models in empirical finance" Collection of links to Gauss codes, but not all links work Introduction to Gauss, but a bit old