Time Series Econometrics

GRS EC 712

Presents standard theory of stationary processes: models, estimation in the time and frequency domain, spectral analysis, asymptotic distribution, Kalman filter; VAR models. Also deals with non-stationary processes and discusses topics such as: functional central limit theorem, asymptotic results with unit roots, tests for unit roots, estimation and test in cointegrated systems and models with structural changes.

FALL 2014 Schedule

Section Instructor Location Schedule Notes
A1 Perron CAS B06A TR 3:30 pm-5:00 pm

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