14.384 Time Series Analysis, Fall 2002

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Author(s)
Kuersteiner, Guido M.
Alternative Title
Time Series Analysis
Date Issued
December 2002
Abstract
Theory and application of time series methods in econometrics, including representation theorems, decomposition theorems, prediction, spectral analysis, estimation with stationary and nonstationary processes, VARs, unit roots, and cointegration. From the course home page: Course Description The course is an introduction to univariate and multivariate time series models. It starts by introducing basic concepts and progresses to more complicated models. The course intends to meet two goals. It provides tools for empirical work with time series data and is an introduction into the theoretical foundation of time series models.
Subjects
time series analysis
univariate time series model
multivariate time series model
time series model
Econometrics
MIT Department
Massachusetts Institute of Technology. Department of Economics
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