ECON 682: Time Series Econometrics

Fall 2005, Department of Economics, Concordia University

---

Course Materials

Course Outline

Software Resources

    STATA

            Resources for learning STATA

    GAUSS

            Brief introduction to GAUSS Light 3.6

            Sample GAUSS program for OLS estimation and data

    MATLAB

  MATLAB Documentation and Tutorial

  Econometrics Toolbox by James P. LeSage

Topics

          Stationary Time Series Processes

          Frequency Domain Analysis

          Multivariate Time Series: VAR and Structural VAR

          Univariate Time Series Processes With Unit Roots

          Multivariate Unit Root Processes, Spurious Regression and Cointegration

          Time-Varying Volatility Models

Assignments