ECON721: Econometrics III

Oriented towards macro-econometric methods. Topics covered will be selected from the following: Further discussion of topics covered in ECON624, nonlinear time series models, exogeneity and causality, non-stationary time series models (unit roots, co-integration, error correction models, vector autoregressive models), econometric models of volatility (ARCH and GARCH models, and Stochastic volatility models), rational expectations models, non-stationary panel data models, tests for structural change, Bayesian econometrics and methods for Bayesian computation.
Prerequisites/Rules:
Prerequisite: ECON624; or permission of BSOS-Economics department.
Credits: 3
Grading Method: Regular , Audit
Course Offering
    Fall 2016 Instructor: John Chao
    Fall 2015 Instructor: John Chao View Syllabus