Econometric notes and links


Time Series

Introductory time series

Must read : Hamilton (1994). Amazing book.

Cours d'Arthur Charpentier : Tome 1, Tome 2. Franchement, ce cours se lit comme un roman : le lecteur sera amené naturellement et assez facilement vers des concepts avancés. De plus, le cours n'est pas que théorique : de nombreux exemples émaillent le document.

Vector AutoRegressive

Lutkepohl (2007)

Vector Error Correction Models

I think K. Juselius cours is not on line anymore, now it's an excellent book on VECM

Dynamic Factor models

Stock and Watson

Doz and Lenglart
Reichlin

Markov-Switching models

Hamilton (1989)
Hamilton (1996)
Grégoir and Lenglart (1998) : this is the French school of Markov Switching processes. Quantitative data is reduced to binomial data, and the probabilities of Berrnoulli process are conditionnal on the regime. Nice results.
Baron and Baron (2002) : similar, on the whole, to Grégoir and Lenglart
Bellone and Gauthier
Chauvet and Hamilton (2005) : very good document, clear. I like it. It might even have ynamic factor with regime switching (can't remember).

Probability

Chaînes de Markov : Charpentier again.