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Economics 761

Note that this course will not be offered in Fall 2016.

This page is for the course entitled Time Series Analysis. In fact, we will not spend all our time on time series analysis, since the course is intended to be an advanced topics course in econometrics, and just happens to bear the name that it bears. It is more bureaucratic hassle than it is worth to change the name every year to reflect the actual content of the course.

A class outline without much more information than what there is here is found as a PDF file here.

Software for models with AR(p) disturbances

This link is to a description of the implementation of the artificial regression discussed in class for regression models with AR(p) disturbances. The Ects code is embedded in the discussion.
For actual use, the Ects code file is arml.ect.
The illustrative example is found here.
The data file is ar3.dat.

Useful papers:

In order to encourage the use of the Linux operating system, here is a link to an article by James MacKinnon, in which he gives valuable information about what software is appropriate for the various tasks econometricians wish to undertake.

To send me email, click here or write directly to Russell.Davidson@mcgill.ca.

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URL: http://russell-davidson.arts.mcgill.ca/e761