ECON 498-1 (Applied Time Series Econometrics) - Fall 2004

Syllabus

Problem Set 1

Problem Set 2

        Data for Problem Set 2

        Solutions for Problem Set 2

Problem Set 3

        Data for Problem Set 3

        Kalman filter code

        Solutions for Problem Set 3

Problem Set 4

        Solutions for Problem Set 4

Final Exam

        Data for Final Exam

        Kalman filter code with constants

        Solutions for Final Exam

Useful links: Frank Schorfheide, Chris Sims, Tao Zha