Time Series Econometrics

GRS EC 712

Theory of stationary processes: models, estimation in the time and frequency domain, spectral analysis, asymptotic distribution, Kalman filter, VAR models. Non-stationary processes: functional central limit theorem, asymptotic results with unit roots, tests for unit roots, cointegrated systems, structural change models.

FALL 2017 Schedule

Section Instructor Location Schedule Notes
A1 Perron SSW 315 TR 3:30 pm-4:45 pm

Note that this information may change at any time. Please visit the Student Link for the most up-to-date course information.