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ECG 752 Time Series Econometrics
The characteristics of macroeconomic and financial time series data. Discussion of stationarity and non-stationarity as they relate to economic time series. Linear models for stationary economic time series: autoregressive moving average (ARMA) models; vector autoregressive (VAR) models. Linear models for nonstationary data: deterministic and stochastic trends; cointegration. Methods for capturing volatility of financial time series such as autoregressive conditional heteroscedasticity (ARCH) models. Generalized Method of Moments estimation of nonlinear dynamic models.
Prerequisite: ECG(ST) 751
Typically offered in Spring only
Economics (PhD)
/graduate/management/economics/economics-phd/
1 Four courses must be two 2-course sequences 2 To complete the econometrics field, an ST 700 level course must be taken in addition to ECG聽752 Time Series Econometrics and ECG聽753 Microeconometrics .