GDN: TIME SERIES ECONOMETRICS
Petr Zemčík, Office: 302, Office hours: just drop by
Phone: (+420) 224 005 154
E-mail: petr.zemcik@cerge-ei.cz
Web page: http://home.cerge-ei.cz/petrz
Teaching assistant: Dorota.Kowalczyk@cerge-ei.cz
Lecture: Room 11, 9:00-12:00
Exercise Session: Computer Lab, 14:00-16:00

MAIN TEXT Walter Enders (2004), Applied Econometric Time Series, 2nd ed., John Wiley & Sons, Inc., New Jersey.

SUPPLEMENTARY TEXTS
Ruey S. Tsay (2005), Analysis of Financial Time Series, 2nd ed., John Wiley & Sons, Inc., New Jersey.
Keith Cuthbertson and Dirk Nitzsche (2004), Quantitative Financial Economics, 2nd ed., John Wiley & Sons, Inc., New Jersey.
James D. Hamilton (1994), Time Series Analysis, Princeton University Press, New Jersey.

SOFTWARE
TSP
- brief manual
- user's guide
- reference manual

DATA
International Financial Statistics
- how to access the database

COURSE OUTLINE

PART A - STANDARD TIME SERIES MODELS

Monday, April 21
Lecture:
- Stationary Time-Series Models, Enders, Ch.2.1-2.8
- Volatility, Enders, Ch. 3.1-3.4, 3.7
Exercise Session:
- outline
- hw#1

Tuesday, April 22
Lecture:
- Unit Roots, Enders, Ch. 4.1-4.8, 4.10
Exercise Session:
- outline
- hw#2

Wednesday, April 23
Lecture:
- VAR, Enders, Ch. 5.5-5.8, Ch. 5.10
- Cointegration, Enders, Ch. 6.1-6.6
Exercise Session:
- hw#3
- critical values for the ADF, Perron, and KPSS tests

PART B - SPECIALTY TOPICS

Thursday, April 24
Lecture:
- Panel Data Unit Root, Cointegration and Causality Tests, Enders, Ch. 4.1; "Testing for Bubbles in  Housing Markets: A Panel Data Approach," (with Vyacheslav Mikhed) forthcoming in the Journal of Real Estate Finance and Economics. (Presentation)
- Generalized Method of Moments, Hamilton, Ch. 14; Hansen, L. P. and K. J. Singleton (1982), “Generalized Instrumental Variables Estimation of Non-linear Rational Expectations Models,” Econometrica 50 (5), 1269-1286.
Exercise Session:

Friday, April 25
Lecture:
- Testing Linear Factor Asset Pricing Models, including the Capital Asset Pricing Model. Cuthbertson and Nitzsche, Ch. 8.; Fama, E.F. and  K.R. French, 1992, “The cross section of expected stock returns,”  The Journal of Finance 47, 427-465;  Fama, E.F. and  K.R. French, 1993, “Common risk factors in the returns on stocks and bonds,” Journal of Financial Economics 33, 3-56.
- High Frequency Data Analysis, Tsay Ch. 5.3; Sarr, A. and Lybek, T. (2002), "Measuring Liquidity in Financial Markets," IMF Working Paper WP/02/232.
Exercise Session:
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