Time Series Analysis

3 Credits

This course provides an introduction to time series analysis as it is applied in macroeconomics and finance. The class will emphasize hands-on implementation of macroeconometric and time series models for macroeconomic, financial, and policy analysis. Topics include macroeconomic data, linear and nonlinear univariate time series models, practical issues with likelihood-based inference in time series models, forecasting, multivariate models, and structural identification in multivariate models. Prerequisites: ECO 157 Attribute/Distribution: Q