Russell Cooper ([email protected])
Jesus Bueren ([email protected])
The first part of the course introduces students to the analysis and modelling of time series
processes, including stationary and non-stationary stochastic processes, and estimation in
multivariate time series. The second part focuses on estimation and inference using generalized
method of moments and simulation based estimators.Topic 1
Basic Time Series concepts: Recap on dierence equations, Stationarity, Ergodicity,
Hamilton (Chapters 1, 3), Lecture notes.Topic 2
Maximum Likelihood Estimation
Estimation of ARMA models using MLE. Statistical Inference. Likelihood Ratio test.
Model selection criteria.
Hamilton (Chapter 5), Lecture notes.Topic 3
Multivariate VAR Models: Stationarity, Conditional likelihood and OLS estimation,
Granger Causality, Impulse responses, error bands, recursive VARs.
Hamilton (Chapter 11), Lecture notes.Topic 4
State-Space Representation and the Kalman Filter : . Representation, a recursive
algorithm. Hamilton (Chapter 13), Lecture notes.Topic 5
Generalized Method of Moments: Estimation and Inference
• Adda and Cooper, Chpt. 4
• Hansen, L. and K. Singleton, "Generalized Instrumental Variables Estimation of
Nonlinear Rational Expectations Models," Econometrica, 50 (1982), 1269-86.
• J. Wooldridge,(2010) Econometric Analysis of Cross Section and Panel Data,
MIT Press, Chpt. 8Topic 6
Simulated Method of Moments: Estimation and Inference
• Adda and Cooper, Chpts. 5-8.
• Adda, J. and R. Cooper, \Balladurette and Juppette: A Discrete Approach,"
Journal of Political Economy, August, 2000.
• Cooper, R. and G. Zhu, \Household nance over the life-cycle: What does education
contribute?" Review of Economic Dynamics, 20 (2016), 63-89.
• Cooper, R. and J. Haltiwanger, \On the Nature of Capital Adjustment Costs,"
Review of Economic Studies, 73 (2006), 611-33.
• Gourieroux, C. and A. Monfort,(1996) Simulation Based Econometric Methods,
Oxford University Press.
• Smith, A. "Estimating Nonlinear Time-Series Models using Simulated Vector
Autoregressions," Journal of Applied Econometrics, 8 (1993), S63-84.Exercise classes
There will be 6-8 exercise classesFinal exam and Grading
There will be problems set to be graded by TAs in classes (20%) and a final exam (80%).