Whats New in Econometrics - Time Series
Summer Institute 2008
James H. Stock and Mark W. Watson, Organizers
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
July 14, 2008 - Lecture Slides and Videos:
Frequency Domain Descriptive Statistics
Video - SI 2008 Lecture 1 from NBER on Vimeo. 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
Weak Instruments, Weak Identification,
and Many Instruments, Part II
Video - Lecture 4 Size: 401,263 KB
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
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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