Time Series Analysis

3 Credits · Level: Graduate, Undergraduate

This course covers estimating, testing, and forecasting time series models. It will develop fundamental concepts through the study of univariate time series and then generalize those concepts to multivariate time series. Specific topics include ARMA and ARIMA models, GARCH (volatility) models, VAR and structural VAR models, Granger causality, and cointegration. There will be an emphasis on macroeconomic applications, such as studying the relationships between unemployment and inflation (i.e., the Phillips curve); unemployment and GDP (i.e., Okun’s Law); the macroeconomy and various shocks; and other topics as determined by students’ interest. Students will make extensive use of statistical software in completing assignments and in a replication project.