Time Series in Economics

3 credits · Graduate

This is a course in econometrics that focuses on time series models. The topics cover estimation and inference procedures for univariate and multivariate time series models with stationary and nonstationary data, including stationary univariate time series models (ARMA), unit-root testing, vector autoregressive and vector error correction models, autoregressive heteroscedasticity (ARCH/GARCH), and Markov switching models. EXCLUSIONS: ECON 4440.03 FORMATS: Lecture