Academic Catalog 2021–2022

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ECO832 Applied Econometrics II: Time Series Data

[3–0, 3 cr.]

The aim of this course is to introduce students to a comprehensive theoretical framework of time series econometrics and its applications. Topics covered include stationary univariate time series processes, non-stationary processes, multivariate processes, systems of simultaneous equations, and cointegration and error-correction models. The course involves frequent use of time series datasets with an emphasis on applications in the field of macroeconomics.

Prerequisite: ECO831 Applied Econometrics I