ECON 895: Special Topics in Economics

ECON 895-006: Time Series Econometrics
(Spring 2019)

07:20 PM to 10:00 PM W

Innovation Hall 328

Section Information for Spring 2019

This course aims at helping you develop skills to analyze data that evolves over time, such as GDP, interest rates, stock prices, etc. The focus is primarily applied, as opposed to theoretical. As such, we will rely on statistical software (primarily STATA) to understand and develop stationary models (including ARMA and ARIMA, which are used in forecasting). We will also learn how to deal with non-stationary series (stochastic detrending, linear filtering, etc.). In addition, we will cover VAR models (vector autoregressions), Structural VARs, Cointegration and Error Correction. Finally, you will be introduced to analysis in the frequency domain as well as elementary spectral analysis. Applications will include, but are not limited to, Austrian Business Cycle Theory, pricing of cryptocurrencies, international political relations, simulations, etc. To get the most out of this course, previous exposure to econometrics, basic differential equations, and basic linear algebra would be very helpful. The course is open to all Ph.D. as well as M.A. students.

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Course Information from the University Catalog

Credits: 3

Topics vary according to interests of instructor. Emphasizes new areas of discipline. May be repeated within the term.
Specialized Designation: Topic Varies
Registration Restrictions:

Enrollment limited to students with a class of Advanced to Candidacy, Graduate or Non-Degree.

Enrollment is limited to Graduate level students.

Schedule Type: Lec/Sem #1, Lec/Sem #2, Lec/Sem #3, Lec/Sem #4, Lec/Sem #5, Lec/Sem #6, Lec/Sem #7, Lec/Sem #8, Lec/Sem #9, Lecture, Sem/Lec #10, Sem/Lec #11, Sem/Lec #12, Sem/Lec #13, Sem/Lec #14, Sem/Lec #15, Sem/Lec #16, Sem/Lec #17, Sem/Lec #18
Grading:
This course is graded on the Graduate Regular scale.

The University Catalog is the authoritative source for information on courses. The Schedule of Classes is the authoritative source for information on classes scheduled for this semester. See the Schedule for the most up-to-date information and see Patriot web to register for classes.