Wednesday, 13:30 -17:00 :: C-5c
Jacek Suda, Department of Quantitative Economics
- The class on April 24 is cancelled
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; 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.