14.384 Time Series Analysis, Fall 2007
Author(s)
Mikusheva, Anna, 1976-; Schrimpf, Paul
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Alternative title
Time Series Analysis
Metadata
Show full item recordAbstract
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.
Date issued
2007-12Other identifiers
14.384-Fall2007
local: 14.384
local: IMSCP-MD5-397319be5b26548558c75500e7efd013
Keywords
univariate stationary, univariate non-stationary, vector autoregressions, frequency domain analysis, persistent time series, structural breaks, dynamic stochastic general equilibrium, DSGE, Bayesian, econometrics, VAR, unit root, prediction regression, GMM, MCMC