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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 models

  • 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!

Thank you!

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