Time Series Econometrics

Catalog description

This is an advance econometrics course focused on time series issues with emphasis on empirical applications. The purpose of this course is to familiarize students with current techniques used in time series models with applications in macroeconomics and finance. Time series data introduces special issues to consider (vs. cross sections). We will work on building time series models appropriate for different macroeconomic questions/applications and study ways to estimate them. Topics include distributed lag models, ARMA models, ARCH and GARCH models of volatility, VAR, SVAR, VECM, local projection, and state-space models. Prerequisites: ECN 282 and ECN 286.