Time Series Models¶
These lectures look at important concepts in time series that are used in economics
Lectures¶
- Covariance Stationary Processes
- Estimation of Spectra
- Additive and Multiplicative Functionals
- Classical Control with Linear Algebra
- Classical Prediction and Filtering With Linear Algebra
- Knowing the Forecasts of Others
- Introduction
- The Setting
- Tactics
- Equilibrium conditions
- Equilibrium with $ \theta_t $ stochastic but observed at $ t $
- Guess-and-verify tactic
- Equilibrium with one signal on $ \theta_t $
- Equilibrium with two noisy signals on $ \theta_t $
- Comparison of the two signal structures
- Notes on History of the Problem