Time Series Bootcamp

Basic Time-Series Analysis, the Game

When graduate students approach me hoping to start research in price analysis, they usually have to start from ground zero in terms of their time-series statistical…

Basic Time-Series Analysis: A Drunk and Her Dog Explain Cointegration and the VECM Model

This post is the fifth in a series explaining Basic Time Series Analysis. Click the link to check out the first post which focused on stationarity versus non-stationarity, and to find a list of other topics covered. As a reminder, this post is…

Basic Time-Series Analysis: Model Choice Cookbook

This post is the sixth and final in a series explaining Basic Time Series Analysis. Click the link to check out the first post which focused on stationarity versus non-stationarity, and to find a list of other topics covered. As a reminder, this post is…

Basic Time-Series Analysis: Modeling Volatility (GARCH)

This post is the third in a series explaining Basic Time Series Analysis. Click the link to check out the first post which focused on stationarity versus non-stationarity, and to find a list of other topics covered. As a reminder, this post is…

Basic Time-Series Analysis: Single Equation Models (ARIMA)

This post is the second in a series explaining Basic Time Series Analysis. Click the link to check out the first post which focused on stationarity versus non-stationarity, and to find a list of other topics covered. As a reminder, this post is…

Basic Time-Series Analysis: The VAR Model Explained?

This post is the third in a series explaining Basic Time Series Analysis. Click the link to check out the first post which focused on stationarity versus non-stationarity, and to find a list of other topics covered. As a reminder, this post is…

Machine Learning and Econometrics: Trees, Random Forests, and Boosting

This is the third in a series of posts where I document my own process in figuring out how machine learning relates to the classic econometrics one learns in a graduate program in economics. Note that I am a…