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time_series_models
Time Series Models
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 Functionals
Overview
A Particular Additive Functional
Dynamics
Code
Multiplicative Functionals
Overview
A Log-Likelihood Process
Benefits from Reduced Aggregate Fluctuations
Classical Control with Linear Algebra
Overview
A Control Problem
Finite Horizon Theory
The Infinite Horizon Limit
Undiscounted Problems
Implementation
Exercises
Classical Filtering With Linear Algebra
Overview
Infinite Horizon Prediction and Filtering Problems
Finite Dimensional Prediction
Combined Finite Dimensional Control and Prediction
Exercises