Part 2 of this course covers the following advanced topics in time series econometrics and empirical macroeconomics:
on the basis of lecture notes, selected published articles, and corresponding material in Hamilton's textbook. The presentation will alternate between econometric theory and applications. The latter will be conducted in class using my econometrics software package EasyReg.
There will be no exams: The grade will be determined on the basis of an empirical term paper. You have to collect or find multiple time series data, test for unit roots, cointegration, and/or conduct VAR innovation response analysis, and write a term paper of about 15 pages. In this term paper you have to motivate your choice of data and topic, discuss where your research fits in the literature, report your results, and draw your conclusions. This project should not take more than one week. The term paper has to be turned in on or before the final exam date.