Courses:

Course Info

• Course Number / Code:
• 14.384 (Fall 2007) 
• Course Title:
• Time Series Analysis 
• Course Level:
• Graduate 
• Offered by :
• Massachusetts Institute of Technology (MIT)
  Massachusetts, United States  
• Department:
• Economics 
• Course Instructor(s):
• Prof. Anna Mikusheva
  Paul Schrimpf 
• Course Introduction:
•  
• 
  
  14.384 Time Series Analysis
  
  
  
  

  Fall 2007

  
  
  

  
  
  

  Course Highlights

  
  
  

  
  
  14.384 Time Series Analysis
  
  
  
  

  Fall 2007

  
  
  

  

  Simulation of an ARMA (autoregression moving average) model. (Image by Paul Schrimpf taken from recitation notes.)

  
  
  

  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.
  
  

  Recommended Citation

  
  
  

  For any use or distribution of these materials, please cite as follows:

  Anna Mikusheva, course materials for 14.384 Time Series Analysis, Fall 2007. MIT OpenCourseWare (http://ocw.mit.edu), Massachusetts Institute of Technology. Downloaded on [DD Month YYYY].