Econ 706: Econometrics III, Fall 2017


Course Time: Tuesdays and Thursdays 2:30 Ė 3:45. Social Science 6210


Instructor:†††† Bruce Hansen, 6438 Social Science.

Email: †††††††††††

Classlist: †††††††

Office Hours:Tuesdays 9:00-11:00 (for course material)

Thursdays 9:00-12:00 (to discuss research projects, sign-up in advance)

Office Hour Sign-up


TA†††††††††††††††††† Daniel Chaves

TA†††††††††††††††††† Shanke Zhao


Research Paper


This is a team-taught course. Professor Hansen will be covering time series econometrics during the 2:30 lecture.

Lectures will be held during September 7 through October 19 only.


The course prerequisite is Economics 705 and second year status as an economic Masterís student.


For questions about computer programming, please see one of the TAs during their office hours.

Some useful information about using Stata for time series is here.


To discuss your research paper, please sign-up for a Thursday office hour slot.


The textbook for the lectures is Structural Vector Autoregressive Analysis by Lutz Kilian and Helmut Lutkepohl, Cambridge University Press. The text and MATLAB code are available on Lutz Kilianís website. During the term, I expect to cover chapters 1-4, 8-12, 16. You should also read chapters 5-7. For background material in econometrics, I recommend my first-year textbook.


Stata code used in lectures: