James Hamilton
University of California, San Diego
Economics 220E
Winter 2006

The following book is required and available at the UCSD bookstore:

James D. Hamilton, Time Series Analysis, Princeton University Press, 1994.

Also, results from the following papers will be used:

Donald W.K. Andrews (1993), "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica 61, pp. 821-856.

Jordi Gali (1996), "Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations?," NBER Working Paper 5721. Shorter version appeared in 1999 in American Economic Review 89, pp. 249-271.

Grades for Econ 220E will be determined as follows:

30%: Midterm Exam. This will be on Tuesday, Feb. 7. No books or notes allowed.

20%: Paper. This should be turned in to Professor Hamilton's mailbox by Friday, March 17. A separate document describes the requirements for this.

50%: Final exam. This will be on Thursday, March 23, 8:00 - 11:00 a.m. No books or notes allowed.

This is a live document that will be continually revised during the quarter: it is recommended you check it periodically at http://dss.ucsd.edu/~jhamilto/Econ220E.html. Some lectures will use Powerpoint slides, pdf versions of which can be downloaded and students may wish to bring these to class. Since changes may be made at the last minute, the recommendation is to check the "Powerpoint" links below the night before class and download and print out at that time. There are also numerous examples available that you can download by following the links below, which are all written to use the RATS software package, ten copies of which should be in the computer lab by the time we get to this material.

Regular office hours for Econ 220E will be Wed 1:30-2:30 in Econ 307. Exceptions: no office hours Wed Feb 8 (instead available Tuesday Feb 7 12:30-1:30) and no office hours Wed March 15 (instead available Mon March 13 10:00-12:00).