ECON 5560 Time Series Econometrics 3.0 Credits
This course introduces the students to time series econometric models and empirical analysis using time series economic and financial data, with specific emphasis on application and forecasting. This course will use various useful discussion topics from macroeconomics and financial economics for the purpose of applying various time-series econometric tools to real world examples. The topics to be covered in the course include AR, MA, ARMA/ARIMA models, deterministic and stochastic trends, structural breaks, ARDL, time-varying volatility (G/ARCH), Vector Autoregression (VAR) model estimation, and some of recently developed tools in non-stationary time series econometrics including unit-root processes, cointegration, the Error Correction Model (ECM) and panel data estimation .
Repeat Status: Not repeatable for credit
Prerequisites: (STAT 610 [Min Grade: C] or BSAN 6100 [Min Grade: C]) and (ECON 540 [Min Grade: C] or ECON 5540 [Min Grade: C]) and (ECON 550 [Min Grade: C] or ECON 5550 [Min Grade: C]) and (ECON 601 [Min Grade: C] or ECON 6601 [Min Grade: C]) and (ECON 610 [Min Grade: C] or ECON 6610 [Min Grade: C])