Time Series Analysis

Image containing time series equation and graph.

Graph of time series equation. (Image courtesy of Daniel Bersak.)

Instructor(s)

MIT Course Number

14.384

As Taught In

Fall 2008

Level

Graduate

Cite This Course

Course Description

The course provides a survey of the theory and application of time series methods in econometrics. Topics covered will include univariate stationary and non-stationary models, vector autoregressions, frequency domain methods, models for estimation and inference in persistent time series, and structural breaks. We will cover different methods of estimation and inferences of modern dynamic stochastic general equilibrium models (DSGE): simulated method of moments, maximum likelihood and Bayesian approach. The empirical applications in the course will be drawn primarily from macroeconomics.

Archived Versions

Schrimpf, Paul, and Anna Mikusheva. 14.384 Time Series Analysis, Fall 2008. (MIT OpenCourseWare: Massachusetts Institute of Technology), http://ocw.mit.edu/courses/economics/14-384-time-series-analysis-fall-2008 (Accessed). License: Creative Commons BY-NC-SA


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