Ed Herbst

This is a set of slides I use for teaching. Much of this material stems from courses I took at the University of Pennsylvania, in particular Frank Schorfheide’s Econ 706 and 722. You may also be interested in notes.

1. Introduction to Time Series ·
2. Trends ·
3. Frequency Domain ·
4. VARs ·
5. DSGE + State Space Models ·
6. DSGE + VARs
7. Factor Models

Bayes

1. Intro Bayesian Inference ·
2. Bayesian VARs
3. Bayesian Non Parametrics ·
4. Simulation Methods 1

Etc

1. Nonlinear Time Series Models ·
2. Machine Learning ·