Econometrics II

Catalog description

This course is designed as a time series econometrics course with focus on applications in macroeconomics, international finance, and finance. We will cover univariate and multivariate models of stationary and non-stationary time series in the time domain. The goals of the course are threefold: (1) develop a comprehensive set of tools and techniques for analyzing various forms of univariate and multivariate time series models, and for understanding the current literature in applied time series econometrics; (2) survey some of the current research topics in time series econometrics; (3) show how to use EVIEWS, GAUSS, MATLAB, STATA and SPSS to estimate time series models.