Course Description

An introduction to the economic and statistical analysis of time series. Topics include linear regression with time series data, ARMA models, VAR models, ARCH and other non-linear models, unit-root non-stationary processes, and cointegration.

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Athena Title

TIME SERIES

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Prerequisite

ECON 8080

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Grading System

A - F (Traditional)

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Course Objectives

The course objective is to provide advanced training in time- series econometrics to Ph.D. students in economics and related disciplines. Upon completion of the course, graduate students will be able to utilize these techniques for independent research, and to understand how these techniques are used in the relevant literature to extend knowledge.

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Topical Outline

1. Introduction to time series analysis 2. Linear regression with time series data 3. Time series models 4. Non-stationarity in time series models

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