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:

 
Syllabus
Course Empirical Project   (some Economic Data)
 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]

During the course we will be using the following E-views working files:
(1) Production and interest rates:  USA Quarterly ( USARGDPPC2015.WF)   y  USA Monthly  (USAIPI2015.WF)
(2) Global warming: (AnnualGDPTemperatureUK.WF)
(3) Maddison GDPpc: (GDPpcMaddison.WF)
AND 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.
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

Dynamic Models (Chapters  13, 14 y 15 of Stock and Watson)

+ Lecture Notes


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. Ouliaris1 , A.R. Pagan2 and J. Restrepo3)
Reading 12 (VAR notes by Mark Watson)
Reading 13 (Structural VAR notes by Eric Zivot)
Spurious Regression and Cointegration

Lecture Notes


Extra Notes:
Spurious Regression (Vanessa Berenguer)
Cointegration (Vanessa Berenguer)


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
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)

Frank Diebold's books:
Econometrics
Forecasting
Time Series Econometrics