Time Series Analysis's Full Profile
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.
Sep 01, 2008
to Dec 20, 2008
Days of the Week:
Monday, Tuesday, Wednesday, Thursday, Friday, Saturday, Sunday
- Level of Difficulty: Beginner
- Size: Massive Open Online Course
- Instructors: Prof. Anna Mikusheva, Paul Schrimpf
- Cost: Free
- Institution: MIT OCW
About MIT OCW:
MIT OpenCourseWare (OCW) is a web-based publication of virtually all MIT course content. OCW is open and available to the world and is a permanent MIT activity.
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MIT OpenCourseWare (MIT OCW) is an initiative of the Massachusetts Institute of Technology (MIT) to put all of the educational materials from its undergraduate- and graduate-level courses online, partly free and openly available to anyone, anywhere.