Fall for 2017-2018
Edward P. Herbst
The course is an introduction to univariate and multivariate time series models. Time domain methods, including VAR's, structural VAR's, Bayesian VAR's for linear models and GMM for non-linear stationary models are covered. An introduction to non-stationary time series models is given. Frequency domain methods and their applications to business cycle inference is also covered. The course starts by introducing basic concepts and progresses to more complicated models. The course intends to meet two goals. It provides tools for empirical work with time series data, mostly for macroeconomic applications and provides a heuristic introduction into the theoretical foundation of time series models. Prerequisites: Econ 613 and 614.
Prerequisites: Econ 613
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