Lecture Notes and Codes
Below you find some lecture notes and related sample codes.
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.
Introduction to time series
Here are some notes for an introduction to times series analysis (univariate models) for graduate students (or advanced undergraduates).
The notes cover
some general tools (OLS, multivariate normal distribution, laws of iterated expectations and variance etc.)
univariate stationary time series (topic 1)
forecasting with stationary ARMAs (topic 2)
trends and nonstationary ARMAs (topic 3)
Here are some finance notes, mostly older, written when I was a TA at Study Center Gerzensee and the University of Basel.
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.