Time Series Analysis

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Spring 2012:

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POLS 8500, Spring 2012
Time: W 6:50-9:50
Location: Baldwin 305
Instructor: Jamie Monogan

Course Syllabus
Office Hours, Baldwin 413:

• Wednesday 2:00-5:00
• or by appointment

Lecture Notes
Please note: Unless the date on the title frame is current, I still may revise slides before class.

• Jan 18: Estimator properties and approaches to time series
  • R code to simulate trending series
  • Stata code to simulate trending series
  • R code for differencing series
• Jan 25: ARIMA Models
  • MLE review
  • R code for identifying and estimating ARIMA models
  • Stata code for identifying and estimating ARIMA models
  • HOME2X7.DTA
• Feb 1: Forecasting and Seasonality
  • R code for ARIMA forecasting and seasonal models
  • Stata code for ARIMA forecasting and seasonal models
  • Carbon dioxide data in Stata format
• Feb 8: Intervention Analysis
  • Bush approval example in R
  • Bush approval example in Stata
  • Bush approval data for example
  • Matt Bogard's blog entries on intervention analysis and estimation with R vs. SAS.
• Feb 15: Transfer Functions
  • R code exploring the 'ccf' function
  • R code for right track example from class and (time permitting) Monte Carlo on Koyck model
  • Example Stata code on transfer functions
  • Right track data
  • Data on tourism and terrorism in Italy & Greece (This is Enders's data reformatted in CSV. The original is posted on Enders's website.)
• Feb 22: Heteroscedasticity in Time Series
  • ARCH & GARCH examples in R
  • ARCH & GARCH examples in Stata
  • EU Stock Market data in CSV format from R library 'datasets'
• Feb 29: OLS under Autocorrelation & GLS Models
  • Example GLS and distributed lag R code
  • Example GLS and distributed lag Stata code
  • Public opinion data for homework
• Mar 7: Regression Models for Dynamic Causation
  • Monte Carlo comparisons of GLS and Koyck
  • Example GLS and distributed lag R code (revisited)
  • Example GLS and distributed lag Stata code (revisited)
  • Home7.dta, simulated homework data
• Mar 21: Panel Data
  • Reading: James Monogan. 2011. "Panel Data Analysis."
  • Example panel models in R
  • Example panel models in Stata
  • Example data
  • Homework data
• Mar 28: Event Duration Models
  • Example Weibull and Cox Models in R
  • Example Weibull and Cox Models in Stata
• Apr 4: Granger Causality
  • Example direct Granger test in R
  • Example direct Granger test in Stata
  • India-Pakistan arms race data
• Apr 11: Time Series Count Models
  • Fogarty & Monogan. Modeling Time-Series Count Data: The Unique Challenges Facing Political Communication Studies
• Apr 18: Vector Autoregression
  • Example Vector Autoregression Model in R
  • Example Vector Autoregression Model in Stata
  • Example Sims-Zha Model
  • U.S. quarterly economic data (This is Enders's data reformatted in CSV and omitting the time index. The original is posted on Enders's website.)
• Apr 25: Error Correction Models
  • Simulation Code
  • Interest Rate Example in R
  • Interest Rate Example in Stata
  • Interest Rate Data
• May 2: Review Session, 4:00-6:00, Baldwin 305
• May 7: Final Exam, 7:00-10:00, Baldwin 305
• May 8: Term Papers Due, 5:00