Syllabus
Office hours: T 4pm-6pm or by appointment
We will use DataCamp to learn R quickly and efficiently.
Lectures:
Lecture 1: Introduction
Lecture 2: AR(p) model,
AR model - GNP growth rate
Lecture 4: MA(q) model
Lecture 5: ARMA(p,q) model,
ARMA model - growth rate for wages in TX
Lecture 6: Forecasting,
ARMA model forecast - Real GDP growth rate
Lecture 7: Nonstationary Time Series
Lecture 9: Seasonal Models,
Seasonal model - Johnson and Johnson Earnings Per Share
Lecture 16: VAR models,
VAR model - house prices in Los Angeles and Riverside
Lecture 18: SVAR models,
SVAR models - short run and long run restrictions
Lecture 21: VEC models,
VEC models - money demand model, interest rates, pairs trading
Lecture 24: Kalman Filter,
Kalman Filter - Nile, CAPM, Johnson and Johnson
magrittr: Pipe operators
Homeworks:
HW1 problems
HW2 problems
HW3 problems
HW4 problems
HW5 problems
HW6 problems
HW7 problems
HW8 problems