ECON 6376: Applied Time Series Econometrics
A graduate course in the George Washington University Department of Economics, offered in the Applied Economics MA program. Materials are posted here as the semester proceeds.
Syllabus
Posted before the first class meeting.
Modules
| # | Topic | Notes | Slides | Materials |
|---|---|---|---|---|
| 1 | Intro: AR(1), ACF, Random Walk, Spurious Regression | Notes | Slides | — |
| 2 | Testing for Stationarity | Notes | Slides | — |
| 3 | AR(p), MA(q) and Their ACF/PACF Fingerprints | Notes | — | — |
| 4 | ARMA Modeling, Estimation, and Information Criteria | Notes | — | — |
| 5 | Diagnostics, Seasonality, and SARIMA | Notes | — | — |
| 6 | Forecasting Fundamentals | Notes | — | — |
| 7 | Forecast Evaluation and Combinations | — | — | — |
| 8 | ADL Models and Dynamic Multipliers | — | — | — |
| 9 | Granger Causality | — | — | — |
| 10 | Cointegration and Error Correction | — | — | — |
| 11 | VAR Models — Mechanical Structure | — | — | — |
| 12 | Impulse Response Functions | — | — | — |
| 13 | FEVD and VECMs | — | — | — |
| 14 | ARCH / GARCH | — | — | — |
Problem Sets
- Problem Set 1 — Modules 1–2
Further problem sets are posted as they are assigned.
Data and Software
- UNRATE.csv — cached FRED unemployment-rate series, so the notes reproduce without a FRED API key.
- helpers.zip — the course R function library (simulators, testing, diagnostics, forecasting, VAR utilities). Unzip into your project folder and source what you need, e.g.
source(here::here("helpers", "simulators.R")). See the includedREADME.mdfor the full function inventory and which lecture each function is built in.
The course runs in R. You will need the fredr, forecast, tseries, urca, vars, ggplot2, and here packages. A FRED API key is needed only for live data pulls, not to reproduce the notes.
Interactive Tools
Browser-based training exercises for the course are on the Time Series Tools page.