Spring 2021

  • Tuesday,   9:50 -13:20     ::    MS Teams



  • We start on Tuesday, March 2, 2021


  • Homework 1.   Due date: April 13, 2021                                               



  • The purpose of this course is to familiarize students with current techniques used in macroeconomic time series models with applications in macroeconomics, international finance, and finance; with the ultimate aim of providing students with the necessary tools to conduct original research in the area.

    Topics include ARMA models, VARs and impulse response functions; local projection; unit roots, and structural breaks; spurious regressions; cointegration and VECM; ARCH models of volatility, and trend/cycle decomposition methods, including Kalman filtering.

    We will mostly work with the classical framework in the time domain but will touch upon Bayesian and frequency domain frameworks.