Macro-Econometric Techniques and Applications

1 Course Unit

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. Fall or Spring Prerequisite: ECON 2100 AND (ECON 2200 OR FNCE 1010) AND ECON 2300 AND ECON 2310 AND (MATH 1400 OR MATH 1070) AND (MATH 1410 OR MATH 1510 OR MATH 1080) 1 Course Unit