Time Series Analysis, Fall 2007

Author:

Mikusheva, Anna

Subject:

Mathematics and Statistics, Social Sciences

Institution:

M.I.T.

Collection:

MIT OpenCourseWare

Level:

Post-secondary

Abstract:

The course provides a survey of the theory and application of time series methods in econometrics. Topics covered will include univariate stationary and non-stationary models, vector autoregressions, frequency domain methods, models for estimation and inference in persistent time series, and structural breaks. We will cover different methods of estimation and inferences of modern dynamic stochastic general equilibrium models (DSGE): simulated method of moments, maximum likelihood and Bayesian approach. The empirical applications in the course will be drawn primarily from macroeconomics.

Language:

English

Material Type:

Activities and Labs, Full Course, Homework and Assignments, Lecture Notes, Syllabi

Media Format:

Downloadable docs, Text/HTML

Conditions of Use:

Creative Commons Attribution-Noncommercial-Share Alike 3.0