Time Series
Advanced Econometrics
This course focuses on econometric theory and time series.
- Contact information (Needed for datalab login)
The Rstudio Datalab
- You can also get an account in https://rstudio.cloud.
Course literature
Textbook: Stock & Watson (4th edition or Updated 3rd edition)
Solutions to odd numbered exercises in Stock and Watson
Used in the course for applied work
- Introduction to Econometrics with R - Stock & Watson companion in R
Introductory slides
Chapter 2 -Review of Probability
Chapter 3 -Review of Statistics
Chapter 4 -Linear regression with one regressor
Chapter 5 -Dummy vars and OLS theory
Chapter 6 -Linear regression with multiple regressors
Chapter 7 -Hypothesis Tests and Confidence Intervals
Chapter 15 -Introduction to Time Series
Chapter 15 -Time Series Regression and Forecasting
Chapter 16 and 17 -HAC and Nonstationarity
Chapter 16 - Estimation of Dynamic Causal Effects