14.384 Time Series Analysis, Fall 2007

Mikusheva, Anna, 1976-; Schrimpf, Paul

Author(s)

Mikusheva, Anna, 1976-; Schrimpf, Paul

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Alternative title

Time Series Analysis

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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.

Date issued

2007-12

URI

http://hdl.handle.net/1721.1/46343

Department

Massachusetts Institute of Technology. Department of Economics

Other 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

Collections

MIT OCW Archived Courses