Course material for Fall, 2006-2007.
2006-2007 Güz Dönemi Dersleri

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Time Series Analysis I (Master)

The lectures will go into some revisions this year. So, the material here may not reflect context of all classes.

Lecture Notes & Slides

Complete set of Lecture Notes from a previous course.
Joh. C. Cochrane's Lecture Notes.

Lecture Notes & Slides 1: Examples of Time Series, Further Examples & Notes, Basic Concepts, Basic Concepts of Forecasting (Read also past Notes), Lecture Notes 1 (Read also these Additional Notes Part 1 & Part 2)
Lecture Notes & Slides 2: Lecture Notes 2, Additional Notes: Part 1, Part 2, Part 3
Lecture Notes & Slides 3: Lecture Notes 3, Additional Notes: Part 1, Part 2, Part 3

Lecture Notes & Slides 4: Part 1, Part 2

Lecture Notes & Slides 5: Part 1, Part 2, Part 3, Part 4, Part 5 (Additional Notes: Part 1, Part 2, Part 3)

Lecture Notes & Slides 6: Part 1, Part 2

Programs

Programs and data covered in the first class: ex_data.R, gsyih.txt, imkb.xls, imkb.txt, imkb_csv.txt

Some examples in R.

Examples of Trend Fitting and Smoothing
Trend estimation in Eviews: Example 1, Example 2, Example 3, Example 4, Example 5
Smoothing in R: All examples in one file (remember to change the working directory before running the program)

R program to create moving average weights for local trend smoothing.

R program to create symmetric and nonsymmetric Henderson weights.

Simulate white noise and AR(1) in EViews.

X12a for Windows XP.

Readings

1. The numerical reliability of econometric software (McCullouhg, 1999)
2. Interpreting time series data (ABS, 2002)
3. Standards and practices for forecasting (Armstrong, 2001)
4. Economic forecasting (Hendry & Clements, 2001)
5. The standard error of regression (McClosky, 2003)
    

Homeworks  (these will probably be updated before a week from the assignment date, check every class day!!!)

Homework #1 (due back 27/10/06) (Solutions, R program, EViews program)
Homework #2 (due back 3/11/06) (Solutions, R program, mFilter program, mFilter Manual)
Homework # Part 1, Part 2  (due back 17/11/06)
Homework #4 (due back 1/12/06)
Homework #5 (due back */12/06)
Homework #6 (due back */12/06)
Homework #7 (due back */12/06)
Homework #8 (due back */*/07)

Data

Get the data I use in lectures and data related to homeworks.
EViews data file I use during lectures.

Additional Material

Tutorial for EViews 4 by M. Ooms
Tutorial for EViews 5 by M. Ooms
Check my old Web Page for EViews

Time Series Analysis II (Master)

Readings, Lecture Notes & Slides

Long Memory Models: Reading 1

STAR Models: Reading 1

GARCH Models: Reading 1

Homeworks

Homework #1 (due back 8/3/06)
  Data
  R, fracdiff, longmemo

Homework #2 (due back 22/3/06)
  Data (get it from CBRT web page)
  R program (read top of the file for instructions)

Math I

Lecture Note 1, Lecture Note 2, Lecture Note 3, Lecture Note 4, Lecture Note 5, Lecture Note 6 (Get also notes and exercise by Chen: Trigonometry, Progression, Sequences, Series), Lecture Note 6-Part 2, Lecture Note 7, Lecture Notes 8

Get also notes and exercise by Chen: Trigonometric Functions, Sequences

See also notes on Functions, Sequences, Limit, Differential, Main Theorems

Time Series Models I

Lecture Notes: Lecture Notes 1, Lecture Notes 2, Lecture Notes 3, Lecture Notes 4, Lecture Notes 5, Lecture Notes 6, Lecture Notes 7

Ekonometri I

Lecture Slides: Slide 1, Slide 2, Slide 3, Slide 4, Slide 5, Slide 6, Slide 7, Slide 8, Slide 9, Slide 10, Slide 11

Örnekler: Kısım 1

Check my old Web Page.

Data set used in Gujarati's textbook.

Ekonometri II

Lecture Slides: Slide 1, Slide 2

Course material for Summer I, 2004-2005.

ECON 1182: Principles of Economics II

ECON 3184: Econometric Methods