Spring 2018

  • Mondays,              :: A-113     11:40 - 15:10

Lecturer

Announcements

Lectures

Description

  • 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.

Syllabus