07:20 PM to 10:00 PM W
Horizon Hall 3001
Section Information for Spring 2022
This course aims will help you develop skills to analyze data that evolves over time, such as GDP, interest rates, stock prices, exchange rates, etc. Although the focus is primarily applied, we will discuss important theoretical concepts as well. We will rely on statistical software (primarily STATA) to develop univariate models (such as ARMA and ARIMA) as well as multivariate models (vector autoregressions, Structural VARs, Cointegration and Error Correction models). We will also develop simulation techniques and discuss analysis in the frequency domain. Applications will include, but are not limited to, macroeconomics, monetary economics, 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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Enrollment limited to students with a class of Advanced to Candidacy, Graduate or Non-Degree.
Enrollment is limited to Graduate level students.