Instructor: Sydney C. Ludvigson
Phone: (212) 998-8927
E-Mail: sydney.ludvigson@nyu.edu
Homepage: http://www.econ.nyu.edu/user/ludvigsons/
Class Hours: Tu/Th, 12:30-2:00 PM
Class Room: 19 W 4th Street, Room 736
T.A.: Breno Neri
Cell: (917) 455-6750
E-Mail: breno.neri@nyu.edu
Homepage: http://homepages.nyu.edu/~bpn207/
Skype: brenopinheironeri
Lab Hours: Fr, 12:30-2:00 PM
Lab Room: 19 W 4th Street, Room 517
Office Hours: Th, 3-5 PM
Office: 19 W 4th Street, Room 804
Handout 1: Stationary ARMA Models
Handout 2: MLE
Handout 3: GMM
Handout 4: VARs (1)
Handout 5: VARs (2)
Handout 6: Nonstationary Time Series (1)
Figures: Hendry (Economica, 1980)
Handout 7: Nonstationary Time Series (2)
Handout 8: The Kalman Filter and GARCH
Questions
Paper: Epstein & Zin (1991)
Paper: Hansen & Singleton (1992)
Data
Questions
Paper: Blanchard & Quah (1989)
Data