ECON 384 - Time Series Econometrics

This course provides an introduction to modern time series econometrics. Topics covered include deterministic trend models, autoregressive moving average models, vector autoregressions, unit roots, and cointegration. We examine and illustrate various approaches to model estimation and inference, including least squares, generalized method of moments, maximum likelihood, and Bayesian methods. Applications are drawn from macroeconomics, with focus on the empirical analysis of dynamic stochastic general equilibrium models and forecasting and policy analysis with structural vector autoregressions. Students will learn basic forecasting tools as well as how to model economic and financial time series. Prerequisite: Econ383
Units: 4
Course Type: Seminar