ADVANCED TOPICS IN TIME SERIES

Graduate

This course includes topics from Time Series Econometrics, including Maximum Likelihood and Least Squares Estimation of ARIMA Models and GARCH Models, Wavelets and Financial Models. Non-stationary Time Series, multivariate Time Series and panel cointegration analysis are also covered. Graduate students must demonstrate their deep understanding of the course material by completing a project in which they develop and assess an appropriate model capable of performing forecasting in a real-world setting. This course is cross- level listed with STAT 4340. Credit cannot be received for both MCS 8340 and STAT 4340. PREREQUISITE: Admission to a graduate program in Science HOURS OF CREDIT: 3