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- Author:
-
Mikusheva, Anna
- Subject:
- Mathematics and Statistics, Social Sciences
- Institution Name:
- M.I.T.
- Collection:
-
MIT OpenCourseWare
- Grade 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.
- Languages:
- English
- Material Type:
- Activities and Labs, Full Course, Homework and Assignments, Lecture Notes, Syllabi
- Media Format:
- Text/HTML, Downloadable docs
- Conditions of Use:
-
Creative Commons Attribution-Noncommercial-Share Alike 3.0
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Give credit to the author, as required.
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derivative works.
Copyrighted materials, available under Fair Use and the TEACH Act for US-based
educators, or other custom arrangements. Go to the resource provider to see
their individual restrictions.
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