ECON 5120: Advanced Topics in Time Series Econometrics

Course Description

Application of econometric methods to time-series data. Emphasis on model specification as it applies to macroeconomic or financial data. Advanced topics include: Stationary and nonstationary time-series, seasonality, random walks, unit roots, Dickey-Fuller tests, cointegration, ARCH/GARCH models, and general to specific modeling (ADLs). Specific applications to macro-economics, international economics and/or financial markets.