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.
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