NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Summer Institute 2008 Methods Lectures

James H. Stock and Mark W. Watson, Organizers

Complete Index of Summer Institute Econometric Lectures

July 14, 2008 - Lecture Slides and Videos:


Slides -Frequency Domain Descriptive Statistics

Lecture 1 - Frequency Domain Descriptive Statistics from NBER on Vimeo.



Slides The Functional Central Limit Theorem and Testing for Time Varying Parameters

Lecture 2 - The Functional Central Limit Theorem and Testing for Time Varying Parameters from NBER on Vimeo.



Slides Weak Instruments, Weak Identification, and Many Instruments, Part I

Lecture 3 - Weak Instruments, Weak Identification, and Many Instruments, Part I from NBER on Vimeo.


Slides Weak Instruments, Weak Identification, and Many Instruments, Part II

Lecture 4 - Weak Instruments, Weak Identification, and Many Instruments, Part II from NBER on Vimeo.

July 15, 2008 - Lecture Slides and Videos:


Slides The Kalman filter, Nonlinear filtering, and Markov Chain Monte Carlo

Lecture 5 - The Kalman filter, Nonlinear filtering, and Markov Chain Monte Carlo from NBER on Vimeo.


Slides Specification and estimation of models with stochastic time variation

Lecture 6 - Specification and estimation of models with stochastic time variation from NBER on Vimeo.


Slides Recent Developments in Structural VAR Modeling

Lecture 7 - Recent Developments in Structural VAR Modeling from NBER on Vimeo.


Slides Econometrics of DSGE Models

Lecture 8 - Econometrics of DSGE Models from NBER on Vimeo.


July 16, 2008 - Lecture Slides and Videos:


Slides Heteroskedasticity and Autocorrelation Consistent Standard Errors

Lecture 9 - Heteroskedasticity and Autocorrelation Consistent Standard Errors from NBER on Vimeo.


Slides - Forecast Assessment

Lecture 10 - Forecast Assessment from NBER on Vimeo.



Slides - Forecasting and Macro Modeling with Many Predictors, Part I

Lecture 11 - Forecasting and Macro Modeling with Many Predictors, Part I from NBER on Vimeo.


Slides - Forecasting and Macro Modeling with Many Predictors, Part II

Lecture 12 - Forecasting and Macro Modeling with Many Predictors, Part II from NBER on Vimeo.

 
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