ECON 518/5281 - Econometrics (3 cr.)
Prerequisites
Description
The course covers the theory and practice of time series econometrics, including ARMA and VAR models and their applications. Non-stationary time series is analyzed such as unit roots, co-integration and error correction model. Further topics are volatility models (GARCH models) that model the conditional variances and covariances of time series data. Forecast evaluation and model selection methods are also discussed.
When Offered
Offered in spring.
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