Announcements We're pleased to announce that RATS Version 10 is now available. This includes fully updated manuals, new features for handling data with irregular dates, improved wizards, new features for GARCH and much more. The includes other details. The main stories are 'Diagnostics on Large Data Sets': a section from the updated GARCH course which explains the common problem of models on large data sets (1000's of observations) failing to pass standard diagnostics even when the model seems perfectly fine and 'Toda-Yamamoto Causality Test: A Cautionary Tale' which explains how the often-used alternative to the Granger test is fundamentally flawed. Updated The ARCH/GARCH and Volatility Models e-course has been updated to a 2nd edition, which includes new and expanded treatment of many topics in GARCH modeling. The main stories are 'Markov-Switching GARCH models', which is a summary of the section from the new edition of the Structural Breaks course; 'How to Switch if you Must' describes the differences between three common types of regime-based behavior (structural break, threshold break and Markov switching) and how to choose which is appropriate; 'Evaluation of GARCH Forecasts' looks at difficulties with using common forecast error statistics (like RMSE) in evaluating out-of-sample behavior of GARCH models.

Updated The Structural Breaks and Switching Models e-course has been updated to a 2nd edition, which includes new and expanded treatment of many topics in models with thresholds, breaks and Markov switching. Updated The State-Space/DSGE e-course has been updated to a 2nd edition, which more than doubles the size of the original. Enders, AETS, 4th edition We've posted the worked examples for the 4th edition of Walter Enders' Applied Econometric Time Series, Wiley, 2015. This is an intermediate book on applied time series, and covers a broad range of applications from ARIMA models to GARCH models to cointegration. See for more. Updated The VAR e-course has been updated to a 2nd edition, which adds over 50% more material. Martin, Hurn and Harris, Econometric Modelling with Time Series We've posted the worked examples from Martin, Hurn and Harris, Econometric Modelling with Time Series: Specification, Estimation and Testing, Cambridge University Press, 2013.

Part IV Topics in time series econometrics 215. 16.1 Forecasting with regression models 262. For students in MBA programs and for researchers in business.

This is a fairly advanced book which looks at time series analysis primarily by means of the likelihood principle. See for more. New CATS Handbook The long-awaited full version of our Handbook to accompany Juselius' text is now available!

Meeting Information Instructor: Keshav P. Sbornik zadachi po visshej matematike dlya ekonomistov reshebnik ermakov. Pokhrel, Ph.D. Meeting Times: MW 3:30 PM - 4:45PM Email: kpokhrel(at)umich.edu Meeting Location: 2046CB Fi Office: 2087CB Office Hours: Monday 10:30 AM- 12:00PM Wednesday 5:00 PM- 6:00PM Friday 10:30 AM- 12:00PM and by appointments Course Description and Objectives Description: This course covers topics in time series analysis and statistical techniques for forecasting. These are time series regression, decomposition methods, exponential smoothing, and the Box-Jenkins forecasting methodology. Objectives: The principle objective of the course is to introduce graduate and advanced undergraduate students in mathematics, economics, business, engineering, and any other field where the analysis of time series is important, to some of the many approaches to analyzing time series data. In addition we will equip them with the tools and knowledge to make forecasts obtained from the statistical analysis of historical data.