Econometrics II - Time Series
This course is an advanced level statistics course focusing on time-series models. The course covers how to detect, estimate, and make valid inferences from univariate, multivariate and potentially panel data. Classic univariate models may include autoregressive, moving average, integrated, and distributed lag models; multivariate models may include vector autoregressions and cointegrated models; and panel-data models include panel-VARs. The course focuses more on applied work than on its theoretical underpinnings. Students are actively involved with computer exercises in this course, using the STATA software program. Students will complete a comprehensive statistical research project.