I will be teaching a short course on time-series econometrics to third-year undergraduates. It will be part theoretical, part applied (students using econometrics software). I am looking for great examples of data series which will fascinate (inspire?!) the students and engage them with time series econometrics.
Topics of the course will include:
Autoregressive distributed lag models
- Non-stationarity (basic unit root testing)
- Engle-Granger type cointegration analysis
- Structural breaks
Have you come across great example data sets with interesting properties and interpretations that you can recommend for some of the above applications? I would much appreciate it!