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Note for Time Series Econometrics

Main References

  • Kim, Dukpa. (2022). "Time Series Econometrics" (2022 Fall) ECON 512, Department of Economics, Korea University.
  • Hamilton, J. D. (1994). "Time Series Analysis". Princeton University Press.

Time Series Econometrics

  1. Stationary Stochastic Processes
  2. Wold Decomposition
  3. Autoregressive Moving Average Models
  4. Estimation of ARMA Models
  5. Seemingly Unrelated Regressions
  6. Vector Autoregressions
  7. Granger Causality
  8. Structural VAR and Identification
  9. Impulse Response Function
  10. Spectral Analysis
  11. Heteroskedasticity and Autocorrelation
  12. State Space Models
  13. Non-stationary Time Series Models
  14. Asymptotic Theory on Time Series Models
  15. Basic Stochastic Calculus
  16. Testing for a Unit Root
  17. Processes with Deterministic Trends
  18. Nonstationary Multivariate Process
  19. Cointegration
  20. Introduction to Bayesian Analysis

Supplementary Topics

  1. Difference Equations of Lag Operators
  2. Kronecker Product and Vec Operator
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📑Note for Time Series Econometrics