Macro-Econometric Techniques and Applications

Catalog description

This course provides a deeper treatment of time-series econometric methods used in macroeconomc and financial applications, such as nonstationarity, unit roots, and cointegration; structural evolution and breaks; point, interval and density forecasts; forecast evaluation and combination; vector autoregression including impulse-response estimation and analysis; dynamic factor models and dimensionality reduction; univariate and multivariate stochastic volatility models; and prediction markets.