Description:
Dynamic models and time series data. ARMA models. ARCH models. Unit roots, cointegration and error correction. Rational expectations models.
Description:
Dynamic models and time series data. ARMA models. ARCH models. Unit roots, cointegration and error correction. Rational expectations models.
Semester:
Spring of every year
Credits:
Total Credits: 3 Lecture/Recitation/Discussion Hours: 3
Prerequisite:
EC 820A and EC 820B
Description:
Dynamic models and time series data. ARMA models. ARCH models. Unit roots, cointegration and error correction. Rational expectations models.
Semester:
Fall of every year
Credits:
Total Credits: 3 Lecture/Recitation/Discussion Hours: 3
Description:
Analyses of time series regression, stationary time series analysis, ARMA models, Wold decomposition, spectral analysis, vector autoregressions, generalized method of moments, functional central limit theorem, nonstationary time series, unit root processes, cointegration, and other advanced topics.
Semester:
Fall of every year
Credits:
Total Credits: 3 Lecture/Recitation/Discussion Hours: 3
Description:
Analyses of time series regression, stationary time series analysis, ARMA models, Wold decomposition, spectral analysis, vector autoregressions, generalized method of moments, functional central limit theorem, nonstationary time series, unit root processes, cointegration, and other advanced topics.