Time Series Econometrics

Catalog description

Description: This course provides time series analysis in the context of economic issues, combining rigorous measure-theoretic treatments with a strong emphasis on both theoretical concepts and empirical applications. Topics include ARMA, ARCH/GARCH, GMM, unit roots, cointegration, error correction, VAR, and nonlinear models. By the end of the course, students will have developed the necessary time series econometric skills to critically engage with the literature relevant to dissertation-level research.