This course covers time-series econometrics for first-year, finance PhD and MSFE students. We will start by reviewing basic time series concepts and the asymptotic distribution theory associated with estimating well behaved time series models. We will primarily cover ARMA
models and vector autoregressions. Estimation techniques such as the generalized method of moments and maximum likelihood will be discussed. We will then cover non-stationary time series including unit root econometrics and cointegration. We will finish with an introduction to volatility models, regime switching models, and other non-linear models, but that lecture will be non-mandatory
Division: Finance
Spring 2025
B9325 - 001
Day(s)
Date(s)
Start/End Time
Room
-
Thursday 01/27/2025 - 03/07/2025 9:00AM - 12:15PM Geffen 570
Spring 2024
B9325 - 001
Day(s)
Date(s)
Start/End Time
Room
-
Thursday 01/22/2024 - 03/01/2024 9:00AM - 12:15PM Geffen 570