Time Series Econometrics

CAS EC 712

Graduate Prerequisites: (GRSEC708) or consent of instructor. - 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 2025 Schedule

Section Instructor Location Schedule Notes
A1 Perron CGS 111B TR 3:30 pm-4:45 pm

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