14.384 Time Series Analysis, Fall 2008

Author(s)
Schrimpf, Paul; Mikusheva, Anna
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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
2008-12
URI
http://hdl.handle.net/1721.1/90861
Department
Massachusetts Institute of Technology. Department of Economics
Other identifiers
14.384-Fall2008
local: 14.384
local: IMSCP-MD5-18f2198e746c930aadd450bd4ad18668
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
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