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ECON 8821 Time Series Econometrics (Fall: 3 )


Course Description

This course covers major advances in time series analysis. In addition to univariate and multivariate models for stationary time series, it addresses the issues of unit roots and cointegration. The Kalman Filter and time series models of heteroskedasticity are also discussed. The course stresses the application of technical tools to economic issues, including testing money-income causality, stock market efficiency, the life-cycle model, and the sources of business cycle fluctuations.


Instructor(s): Zhijie Xiao

Prerequisites: ECON7770 and ECON7772 or equivalents.

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Last Updated: 24-Feb-14