The course provides a survey of the theory and application of univariate time series methods in econometrics. Topics covered will include stationary and non-stationary models, frequency domain methods, models for volatility, structural breaks and time-varying parameters. The empirical applications in the course will be drawn primarily from macroeconomics and finance.
All materials are provided via Blackboard. Please register for the course with your Blackboard account. link
This seminar is intended to give participants exposure to state of the art research in time series econometrics and its applications in empirical finance and macroeconomics. Doctoral students are encouraged to present first research projects in these areas during the seminar. pdf