ECON 9941 Econometrics II 3.0 Credits
The course provides an introduction to advanced time series econometrics. Key topics include autoregressive moving average (ARMA) models, vector autoregressions (VARs) and Markov processes; forecasting; classical and Bayesian estimation and inference in time series models; state space representation and the Kalman filter; unit roots and cointegrated processes; and filtering and spectral analysis. The various topics are illustrated with different applications and assignments.
Repeat Status: Not repeatable for credit
Restrictions: Can enroll if classification is PhD.
Prerequisites: ECON 940 [Min Grade: C] or ECON 9940 [Min Grade: C]