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.

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