ECON 4120: Time Series Econometrics for Economics and Finance

Course Description

This course considers applications of econometric methods to time series data. Emphasis is placed on model specification as it applies to macroeconomic or financial data. Topics covered include stationary and non-stationary time-series, seasonality, random walks, unit roots, Dickey-Fuller tests, vector autoregression, cointegration, ARCH/GARCH models, and general-to-specific modeling (ADLs). Specific applications to macroeconomics, international economics and/or financial markets are studied.