The following recitation notes are supplements to the lecture notes. Courtesy of Paul Schrimpf. Used with permission.
Recitation notes files.| REC # | TOPICS |
|---|
| 1 | Stationarity, autoregression moving average (ARMA), and covariances (PDF) |
| 2 | Time series in MATLAB®, spectral analysis, and filtering (PDF) |
| 3 | Filtering, Christiano-Fitzgerald, and Hodrick-Prescott (PDF) |
| 4 | Vector autoregression (VAR) and maximum likelihood (ML) (PDF) |
| 5 | Variance decomposition, Kilian (1998) - Bootstrap after Bootstrap, Beaudry and Portier (2006) (PDF) |
| 6 | Testable factor-augmented vector autoregressive approach (FAVAR) restrictions and applications of factor models (PDF) |
| 7 | Lecture review, random walk asymptotics, and with drift (PDF) |