Time Series Analysis for Macroeconomics and Finance

Undergraduate / Graduate

This course will cover various methods and their applications in time series analysis and emphasize empirical exercises by students. The structure of the course starts with theoretical foundations drawing from standard textbooks of Hayashi (2000) and Hamilton (1994) and covers applications to answer important questions in macro and finance. The topics include time series OLS with applications in the Fama interest rate regression and Hansen's study of foreign exchange markets, GMM with the Fama-French model of equity returns, and state-space models with applications to GDP nowcasting. Familiarity with matrix algebra and elementary econometrics is required.