Teaching/2007-2008

MA641 Time Series I (Summer 2008)

Syllabus

RCode for lecture 1; lecture1.1, lecture2, lecture3, lecture 4, lecture 5, lecture 6, lecture 7, lecture 8, lecture 9.

Data files: JNJmonthly, MMMmonthly, BanksData, GDPannual, S&P500daily, S&P500monthly, BAmonthly, TRate1yr, TRate3yr
MonthlyINTC, DailyINTCfrom2000.

The Tsay's eacf function code (please note the need of the library tseries). A better option is to use the TSA package (install and load with the library command) and use the already implemented function there: eacf( ). Read documentation after loading the package with ?eacf.

Files needed for the G@RCH and OX programs: GarchOxModeling.ox garchoxfit_R.txt

Assignment 1 due June 2nd

Assignment 2 due June 9th

Assignment 3 due June 17th

Assignment 4 due June 23rd

Assignment 5 due July 7. Related datasets: 1 year, 2 years, 3 years.

Assignment 6 due July 28

Assignment 7 due Aug 4 (data is posted above DailyINTCfrom2000)

Assignment 8 due Aug 11. Related data: CAT.

Final exam (due Aug 20)

A brief introductio to R: IntroR.pdf

Splus manual accompanying the textbook. The syntax is very similar with R.

Editor for R: Tinn-R

Collaboration vs. Academic Misconduct.

Stevens Honor

Make-up exam form.

Link to eLearn. I set up a page for this course there.