The following recitation notes are supplements to the lecture notes. Notes are courtesy of Paul Schrimpf, the course TA, and are used with permission.
Recitation files. | REC # | TOPICS |
| 1 | Stationarity, autoregression moving average (ARMA), invertibility, covariances (PDF) |
| 2 |
Heteroscedasticity autocorrelation-consistent (HAC) (PDF) Time series in MATLAB (PDF)
|
| 3 | Filtering (PDF) |
| 4 | Spectrum estimation, vector autoregression maximum likelihood (VAR ML) (PDF) |
| 5 | Variance decomposition (PDF) |
| 6 | Fundamentalness, testable factor-augmented vector autoregressive (FAVAR) restrictions, applications of factor models (PDF) |
| 7 | Empirical process theory, random walk asymptotics (PDF) |
| 8 | More empirical process theory, local to unity asymptotics, testing for breaks (PDF) |
| 9 | Consumption, income, wealth and cointegration (PDF) |
| 10 | Generalized method of moments (GMM) estimation of the New Keynesian Phillips Curve (NKPC) (PDF) |
| 11 | Kalman filtering (PDF) |
| 12 | Review of the asymptotics of extremum estimators, minimum distance, review of asymptotic normality, variance matrix estimation, hypothesis testing, asymptotics of simulated estimators (PDF) |
