Time Series Advanced Analysis
Below there is some material I used to teach the course Advanced Time Series Analysis in the academic year 2005-2006. This was an elective subject for students in Quantitative Economics.Syllabus and bibliography
- Syllabus and bibliography of Advanced Time Series Analysis for the academic year 2005-2006.
Problem sets
In a normal quarter, students do between 6 and 8 problem sets, which are assigned approximately with a bi-weekly periodicity.- Problem set 1. Repaso conceptos básicos series temporales.
- Problem set 2. Modelos autorregresivos vectoriales (VAR).
- Problem set 3. Filtro y suavizador de Kalman.
- Problem set 4. Modelos en espacio de estado.
- Problem set 5. Desestacionalización, analisis espectral.
- Problem set 6. Analisis espectral.
- Problem set 7. Filtrado de Kalman, modelos estucturales.
Previous years exams