14.384 Time Series Analysis, Fall 2008
Name
14-384-fall-2008/contents/index.htm
Size
33.9 KB
Format
HTML
Checksum (MD5)
340bbd07f7d7d0ce7113b32c9ce5dd25
Author(s)
Schrimpf, Paul
Mikusheva, Anna
Alternative Title
Time Series Analysis
Date Issued
December 2008
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.
Subjects
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
MIT Department
Massachusetts Institute of Technology. Department of Economics
Terms of Use
Persistent DSpace Link
