Introduction

This course introduces basic theory and applications on time series and panel data models. Topics include:

  • estimation inference, and forecasting with linear time-series models;
  • nonstationary time-series models: unit root and cointegration;
  • pooled and fixed-effects panel data models;
  • instrumental variable regression (if there is enough time).

Lecture slides

  • [Lec 1]
  • [Lec 2]
  • [Lec 3]
  • [Lec 4]
  • [Lec 5]

Assignments