Advanced Applied Time Series Analysis

4 credits

Time series and empirical macroeconomics with focus on applications of time series analysis to various topics in macroeconomics and finance. Topics include: state-space models and Kalman filter; Markov-switching models and their extensions; Bayesian Gibbs sampling; randomization; and measurement of volatility. Prerequisite: ECON 584; recommended: familiarity with programming languages, such as GAUSS, MATLAB, or R.