Econometric Theory II

4 credits

Useful for individuals who plan to conduct research in empirical macroeconomics, empirical finance/asset pricing models, and empirical international economics. Topics include stationary univariate time series, Vector Autoregressive models, State-space models and the Kalman filter (unobserved components models/time-varying parameter models), cointegration models, and volatility models. Prerequisite: ECON 582.