Professor F.X. Diebold
Format: Lectures that stress applied econometric theory.
Topics:
Review of Asymptotic Theory in Dynamic Environments (on your own)
Linear Time Series in the Time Domain
Linear Time Series in the Frequency Domain
Elements of Markovian Structure
State Space and the Kalman Filter
Interesting Models (in State Space)
Simulation and Simulation-Based Methods
Integration, Cointegration and Long Memory
Gaussian MLE in Time and Frequency Domains
Numerical Optimization
Bayesian Analysis and Filtering
Nonlinear/Non-Gaussian State Space and Filtering
ARCH Models
Continuous Time, Integrated Volatility and Realized Volatility
Nonparametric Analysis
Useful books here. Useful software here.
Professor Diebold's office hours (held in McNeil 519) are listed at http://www.ssc.upenn.edu/~fdiebold/ (read the instructions carefully).
Teaching assistant office hours will be announced on Blackboard. TAs will be heavily involved, including help by email. (See Blackboard for contact info, etc,) TAs will also hold weekly review/supplementary sessions.
Grading: N problem sets (each 60/N %) and a final exam (40%). Good performance is crucially dependent on regular class preparation, attendance, and participation.
Important date: April 24 - Final Exam ("Practice Prelim")
Note well that modifications and adjustments to this course outline are inevitable and may be implemented at any time. Check frequently for updates.