INTRODUCTION to TIME SERIES ANALYSIS
for
MASTER Programs (no PHD)
Question: Is time important? Can time explain anything?
"Once upon a time....." "From time to time...." "El tiempo lo cura todo (time cures everything)..." "What time is it?" "Time is money (el tiempo es oro)"..."El tiempo dira (time will say)..." And now it is time for the course to start: On your marks!!, Ready!!!, Goooo!!!!
Econometrics Uncertainty Principle:
- In order to study causality we need to keep certain things constant ("ceteris paribus")
- In order to study causality we need time to pass (there is not causality between simultaneous events)
- Nothing is constant through time
- Therefore ...........
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A Guide to Write an Empirical Project E-Views from Virtual Classroom (for UC3M students) Does Everything Grow? It Seems So: USTrendsPopulation USTrendsGovCrimeTransport USTrendsMoneyPolitics USTrendsEducationReligion USTrendsBusinessCommunication USTrendsLeisureHealth USTrendsWork [From "The First Measured Century" by T. Caplow, L. Hicks and B. Watenberg, PBS 2001] A GREAT PLACE for US DATA is the S.Louis FED (http://research.stlouisfed.org/fred-addin/install_windows.html) And three very useful books from Frank Diebold (Econometrics, Forecasting and Time Series Econometrics) |
| Introduction Stochastic Processes Examples |
GapMinder
SnapShots ( Charles Jones ) Useful Graphs for Teaching (from Charles Jones) Some thing to do: Invent a
transformation that makes growing time series to look
stationary.
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Reading
1 (Ergodicity) (from Breiman (1969) "Probability and Stochastic Processes: With a View Toward Applications") |
| Arma Models | It is very Important to
understand the Wold Decomposition: Wold
Decomposition (E-views.prg) Applets for Arma processes GenerateARMA (E-views.prg) |
Reading
2 (ARMA
models) (from Pollock "Lecture Notes in Time Series Analysis and Forecasting") Reading 3 (ARMA models) (from W.Wei "Time Series Analysis: Univariate and Multivariate Methods") |
Estimation and Inference Model Selection |
Estimation
(E-Views) MA-estimation (E-views.prg) Simulation Estimation AR (E-views.prg) Simulation Estimation MA (E-views.prg) |
Reading 4 (Estimation) (from W.Wei "Time Series Analysis: Univariate and Multivariate Methods") Reading 5 (Identification) (from W.Wei "Time Series Analysis: Univariate and Multivariate Methods") |
| Forecasting
I and Forecasting
II Applied Example |
Forecasting
with
E-Views A bit of humor Forecast Program (plug-in versus direct method) |
Reading
6 (Classical forecasting methods) Reading 7 (Jim Stock's paper on forecasting) Reading 8 (Forecasting) (from W.Wei "Time Series Analysis: Univariate and Multivariate Methods") |
Regression with autocorrelation (chapter 13 Jeff Woolridge's book) HAC Standard Errors |
Intervals
Mean.prg, MonteCarlo Intervals Mean.prg Comparison sd errors with HAC.prg |
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| Dynamic Models (Chapters
13, 14 y
15 of Stock and Watson) or Dynamic Regression Models + Lecture Notes
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| The
Land
of Unit Roots Graphs1 Graphs2 Extra Notes: IntroURTrends (Vanessa Berenguer) Trends (Vanessa Berenguer) URoots (Vanessa Berenguer) Brief Introduction to Structural Breaks |
Applets on: Brownian Motions and other interesting stuff DF-TEST Program Structural Break Program NelsonPlosserExtendedData.WF1 |
Reading 9 (ARIMA models) (from W.Wei "Time Series Analysis: Univariate and Multivariate Methods") Reading 10 (D.S. Pollock on Trends) Reading 11 (Herman Bierenes on Unit Roots) |
| VAR
Models Nexus I (notes of Chris Sims on VARs) Nexus II (notes of Guido Kuersteiner on VARs) Structural VAR Eviews (S. Ouliaris, A.Pagan and J. Restreoi) |
VAR
Models
with E-Views Stock-Watson JEP2001 VARS Stock-Watson Data Set (Eviews) Stock-Watson Updated Data Set (Eviews) A BOOK on how to do it in Eviews (Quantitative Macroeconomic Modeling with Structural Vector Autoregressions – An EViews Implementation S. Ouliaris , A.R. Pagan and J. Restrepo) |
Reading
12 (VAR notes by Mark Watson) Reading 13 (Structural VAR notes by Eric Zivot) |
| Spurious
Regression
and Cointegration |
Examples of Spurious Regression Spurious Regression E-views.prg Spurious Regression Simulations (E-views prg) Cointegration E-views Prg Engle-Granger E-views Prg GoldSilver.WF1 |
Reading
14 (Spurious Regression in Finance) Reading 15 (Spurious Regression with I(0)) |
| Cointegration
and
Common Factors Cointegration Plus (system equation approach) Appendix 1: on Canonical Correlations and Reduced Rank Regressions + Lecture Notes
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Cointegration-Examples
(Andrew Buck- Temple University) ShillerAnnualData.WF1 ShillerMonthlyData.WF1 |
Reading
16 (Cointegration by Dolado, Gonzalo and Marmol) Reading 17 ("Common Long-memory Components") (J. Gonzalo and C.Granger, 1996) |
Material Complemantario a las Lecture Notes:
Brockwell and Davis (Introduction to Time Series and Forecasting---Springer)
Stock-Watson (Introduction to Econometrics (3rd Edition- Addsion-Wesley Series)
SWchapter12
SWchapter14
SWchapter15
SWchapter16
Jeff Wooldridge (Introductory Econometrics: A Modern Approach)
Wooldridge Chapters10-12
Wooldridge Chapters18-19
Coursera-- Financial Econometrics (by ERIC ZIVOT)