Whats New in Econometrics - Time Series

SUMMER INSTITUTE 2008
Whats New in Econometrics – Time Series

James H. Stock and Mark W. Watson, Organizers

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All Lecture Slides are in   Adobe PDF format
Videos are in AVI Format hosted by Google Video

*** The Video Course is also available for purchase on DVD for $100.00. Please email your request to info@nber.org

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July 14, 2008 - Lecture Slides and Videos:

• Frequency Domain Descriptive Statistics
  Video - Lecture 1 Size: 537,566 KB
  

• The Functional Central Limit Theorem and Testing for Time Varying Parameters
  Video - Lecture 2 Size: 426,506 KB
  

• Weak Instruments, Weak Identification, and Many Instruments, Part I
  Video - Lecture 3 Size: 532,010 KB
  

• Weak Instruments, Weak Identification, and Many Instruments, Part II
  Video - Lecture 4 Size: 401,263 KB
  

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  July 15, 2008 - Lecture Slides and Videos:

• The Kalman filter, Nonlinear filtering, and Markov Chain Monte Carlo
  Video - Lecture 5 Size: 452,911 KB
  

• Specification and estimation of models with stochastic time variation
  Video - Lecture 6 Size: 519,629 KB
  

• Recent Developments in Structural VAR Modeling
  Video - Lecture 7 Size: 550,917 KB
  

• Econometrics of DSGE Models
  Video - Lecture 8 Size: 437,797 KB
  

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  July 16, 2008 - Lecture Slides and Videos:

• Heteroskedasticity and Autocorrelation Consistent Standard Errors
  Video - Lecture 9 Size: 481,920 KB
  

• Forecast Assessment
  Video - Lecture 10 Size: 565,268 KB
  

• Forecasting and Macro Modeling with Many Predictors, Part I
  Video - Lecture 11 Size: 295,855 KB
  

• Forecasting and Macro Modeling with Many Predictors, Part II
  Video - Lecture 12 Size: 237,156 KB
  

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