ECON 9740 - Time Series Econometrics

3 Hours
This course is designed to provide students with the necessary theoretical and applied tools to conduct research involving time series data. The topics covered are stationary univariate (ARMA) and multivariate (VAR), and nonstationary univariate (unit roots) and multivariage (spurious regressions and cointegration) time series models; forecasting, estimation and asymptotic theory in the context of time series models; nonlinear models (ARCH/GARCH, regime shifts) and others.

Prerequisite(s): ECON 9720.
Corequisite(s): None.
Pre/Corequisite(s): None.
Requirements: None.