14.384 Time Series Analysis, Fall 2007
Citable URI:
http://hdl.handle.net/1721.1/46343
| Title: | 14.384 Time Series Analysis, Fall 2007 |
| Author: | Mikusheva, Anna, 1976-; Schrimpf, Paul |
| Issue Date: | 2007-12 |
| 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. |
| URI: | http://hdl.handle.net/1721.1/46343 |
| Other Identifiers: | 14.384-Fall2007 |
| Other Identifiers: | 14.384 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, 270502, Mathematical Statistics and Probability, 450603, Econometrics and Quantitative Economics |
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| Files | Size | Format |
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| 14-384Fall-2007 ... -2007/CourseHome/index.htm | 13.62Kb | text/html |
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Economics (14) - Archived
Economics (14)
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