ECON 275 Time Series

Stochastic processes and concepts such as stationarity, ergodicity, and mixing. Inference with heteroskedastic and autocorrelated time series; autoregressive and moving average models; unit root processes and asymptotic analysis of such; tests for structural change; vector autoregressive modes; cointegration; impulse response analysis; forecasting; ARCH and GARCH volatility models. Prerequisites: 270, 271.

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