Lecture Notes and Codes

Below you find some lecture notes and related sample codes.

My production codes and replication material for published papers are (mostly) on GitHub or posted with the publisher (please see also the links listed on my Publications page).

All materials are provided on an "as is" basis. No warranty, but comments are of course welcome.

Feel free to use them as long as you give proper reference to the source.

Finance lectures

Here are some finance notes, mostly older, written when I was a TA at Study Center Gerzensee and the University of Basel.


Macro and Time Series

Below are some short notes on topics in Macro and Time Series analysis. Please see also some of my lecture notes for Matlab for state space tools and simple DSGE models.

State space models in Matlab

Here are some lecture notes and sample codes for a Matlab course I taught in 2007 and 2008. After a brief introduction the course starts with a primer on Matlab and then moves on to some tools for macroeconomic modelling (state space models and linear rational expectations).

Code and lecture notes are provided on an "as is" basis. No warranty, but comments are of course welcome. Feel free to use them as long as you give proper reference to the source.

The code builds on material from Econometrics Toolbox homepage , jplv7.zip — Econometrics Toolbox (from www.spatial-econometrics.com)

Other Matlab codes

Some older codes to implement Markov Chains and the univariate Stock-Watson UCSVO model (2016, REStat).

Please see in Github for my more recent toolboxes: https://github.com/elmarmertens/em-matlabbox

Introduction to OLS and MLE in EViews

A brief introduction to EViews, with particular focus on regressions and maximum likelihood analysis.

eviewsOLSMLE.pdf