ECON 511 (Fall 2002)

Econometric analysis of time series, with applications

Instructor:
Prof. Herman J. Bierens
Tel.: 865-4921, email: hbierens@psu.edu
Office hours: Wednesday 2-4 PM in 510 Kern.

T.A.:
Guang Guo
Office hours M W 4:30-6 PM in 404 Kern (tentative, subject to change if necessary)

Time and place: 6-9 PM in 110 Walker on Tuesdays only.

The objective of this course is to prepare the Ph.D. students in economics for the study of empirical macroeconomics, by providing a rigorous introduction to the theory and practice of time series analysis (univariate as well as multivariate time series, and stationary as well as non-stationary time series).

Each two weeks a number of theoretical and/or empirical exercises will be assigned as homework.

Apart from the first few weeks, the lectures will alternate between theory and computer demonstrations.

The final grade will be determined by the homework (10%), a written closed-book mid-term exam (30%), a written closed-book final exam (30%), and an empirical term paper (30%). The final exam will cover the material of the mid-term exam as well. If you score higher on the final exam than on the mid-term exam, the latter score will be ignored, and the final exam will count for 60% of the final grade.

Prerequisite level:

ECON 501 and ECON 510, or equivalent level.

Textbook:

Hamilton, James D. (1994) Time Series Analysis, Princeton University Press

Topics:

  1. Difference equations [Ch. 1]
  2. Lag operators [Ch.2]
  3. Stationary ARMA processes [Ch.3]
  4. Forecasting [Ch. 4, Lecture notes]
  5. Maximum likelihood theory for time series models [Ch. 5+7]
  6. Vector autoregressions and innovation response analysis [Lecture notes; Ch. 11]
  7. Unit roots [Lecture notes; Ch.15+17]
  8. Spurious regression [Lecture notes; Ch. 18]
  9. Cointegration [Lecture notes; Ch. 19-20]

Final Exam:

6:50 PM on Tuesday December 17, 2002, in 110 Walker.

Disability Message:

The Pennsylvania State University encourages qualified persons with disabilities to participate in its programs and activities. If you anticipate needing any type of accommodation in this course or have questions about physical access, please tell the instructor as soon as possible.

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