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
|A1||Perron||CAS B06A||TR 3:30 pm-5:00 pm|