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MIT OpenCourseWare 14.384 Time Series Analysis Fall 2008 For information about citing these materials or our Terms of Use, visit: .
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Time Series in Matlab 1 14.384 Time Series Analysis, Fall 2007 Recitation by Paul Schrimpf Supplementary to lectures given by Anna Mikusheva September 11, 2008 Recitation 2: Time Series in Matlab Time Series in Matlab In problem set 1, you need to estimate spectral densities and apply common filters. You can use any software you would like, but we recommend using Matlab. It may be easier to do simple things using more statistics oriented programs like Stata or RATs, since these programs include pre-packaged commands for many common tasks, but you will learn more by writing the code yourself. Also, it is generally easier to write programs for new estimators in a full-featured programming language like Matlab’s than in the language of statistics oriented programs. Finally, I recommend using Matlab because I happen to use Matlab, and I will be more likely to be able to provide help if you need it. These notes cover some slightly obscure Matlab commands that can be useful for time series. For a more general overview, see Disclaimer: I wrote these notes last year, and I am not entirely sure that they are com- pletely correct. Many of the commands covered are from Matlab’s signal processing toolbox, and they have different names and may do slightly different things than what an econometri- cian would expect. Always read Matlab’s help
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rec02_matlab - MIT OpenCourseWare http:/ 14.384...

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