Applied time series for macroeconomics

Book cover

This page contains supporting material for the book "Applied time series for macroeconomics", authored by Hilde C. Bjørnland and Leif Anders Thorsrud.

The book focuses on time series econometrics with applications in macroeconomics. Assuming a basic understanding of multiple regression analysis, the book shows how to formulate time series models, carry out forecasting and structural analyses, and work with stationary and nonstationary data alike. Univariate and multivariate models are covered, as are methods for breaking down time series data into trends and cycles.

The book is filled with practical applications using macroeconomic time series, and Matlab code accompanies all examples. Simple Monte Carlo simulations are explained and used to illustrate important concepts. The book should be easily accessible for graduate students with one or more courses in statistics and regression analysis, but who have never been introduced to time series analysis before. Applied researchers in business, governmental institutions and academia may benefit from the book as it provides examples and tools relevant for their tasks.

About the authors

Hilde C. Bjørnland is Professor of Economics and Director of the Centre for Applied Macro- and Petroleum Economics at the BI Norwegian Business School and visiting scholar to Norges Bank.

Leif Anders Thorsrud is Assistant Professor at BI Norwegian Business School and has more than 6 years of experience as model builder and forecaster at Norges Bank.

Chapters and matlab codes

By clicking on the links below you can download folders containing Matlab codes and data accompanying each chapter of the book. To execute the replication files associated with the examples in the book, run the file(s) starting with the name: "chapter...". Each folder also contains a number of auxiliary files. These are needed to run the main programs. Please refer to the book if you use the codes for research or commercial purposes.

  1. Introduction
  2. Time Series
  3. Forecasting
  4. Nonstationarity
  5. Trend and cycles
  6. Simultaneity
  7. Vector autoregression (VAR)
  8. Structural Vector autoregression (SVAR)
  9. Cointegration
  10. State-Space Models and the Kalman Filter

If the links are broken, or the codes do not work, please contact the authors.

The book

Applied Time Series for Macroeconomics

Format: Hard cover. Published: 2015. Publisher: Gyldendal akademisk. Language: English.

The book exists in two versions. The first issue was published in 2014. The new 2015 release contains an updated version of Chapter 6, now including material on GMM estimation and inference, as well as a new Chapter 10, covering state-space models and the Kalman Filter. For more information please visit the publishers webpage .


Unfortunately there are some typos associated with the 2014 edition of the book, for which we apologize. This link contains a list of the known knowns. There are likely also known unknowns. If you discover these (or unknown unknowns), please do not hesitate to inform or ask the authors.