ECO 529: Financial Economics (Fall 2018)
ECO 595: Time Series Econometrics (Fall 2018)
- TOPIC 1: ARIMA (identification, estimation, forecasting)
- ARIMA estimation (data and code)
- TOPIC 2: VAR and SVAR models
- Reading # 1: Vector Autoregression (mandatory reading)
- TOPIC 3: Unit root, cointegration, error correction model
- Reading # 2: Variable trends in economic time series (mandatory reading)
- TOPIC 4: Trend and cycle decomposition
- TOPIC 5: ARCH and GARCH models
- TOPIC 6: Dynamic economic modeling (ARDL models)
- Reading # 3: Twenty years of time series econometrics in ten pictures (optional reading)
