Econometric Theory IIA ECON 838 (4)
This course presents advanced topics in time series econometrics, with an emphasis on model building, estimation, inference and forecasts in finance and macroeconomics. Univariate and multivariate models of stationary and nonstationary time series in time and frequency domains will be studied. General topics will include specification testing, method of moments estimators, applications of maximum likelihood, simulation and bootstrap methods, and estimation and inference in nonlinear models. These will be presented in the context of ARMA models, impulse-response functions, vector autoregressions and state space models, frequency domain methods, unit roots, cointegration, models of volatility, extreme value analysis and risk management, long-memory models, structural change, hidden-markov models, high frequency finance and wavelets. Prerequisite: ECON 837.