Prerequisite: ECG(ST) 751
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.
| SECTION | INSTRUCTOR | BUILDING | TIME | DAYS | AVAILABILITY | ENROLLMENT |
|---|---|---|---|---|---|---|
| 002 | TBA | - | TBA | CANCELLED | 0/5 - Open |
