Time Series Models¶

These lectures look at important concepts in time series that are used in economics

Lectures¶

• Covariance Stationary Processes
  • Overview
  • Introduction
  • Spectral Analysis
  • Implementation
• Estimation of Spectra
  • Overview
  • Periodograms
  • Smoothing
  • Exercises
  • Solutions
• Additive and Multiplicative Functionals
  • Overview
  • A Particular Additive Functional
  • Dynamics
  • Code
  • More About the Multiplicative Martingale
• Classical Control with Linear Algebra
  • Overview
  • A Control Problem
  • Finite Horizon Theory
  • The Infinite Horizon Limit
  • Undiscounted Problems
  • Implementation
  • Exercises
• Classical Prediction and Filtering With Linear Algebra
  • Overview
  • Finite Dimensional Prediction
  • Combined Finite Dimensional Control and Prediction
  • Infinite Horizon Prediction and Filtering Problems
  • Exercises
• Knowing the Forecasts of Others
  • Introduction
  • The Setting
  • Tactics
  • Equilibrium conditions
  • Equilibrium with $ \theta_t $ stochastic but observed at $ t $
  • Guess-and-verify tactic
  • Equilibrium with one signal on $ \theta_t $
  • Equilibrium with two noisy signals on $ \theta_t $
  • Comparison of the two signal structures
  • Notes on History of the Problem