ECON 423 - Time Series Econometrics

This course introduces students to popular methods and practices of analyzing data that exhibit dependence over time. The topics may cover fundamental linear time series models (autoregressive processes, moving average processes and their generalizations), modelling time-varying volatility (the autoregressive conditional heteroskedasticity or ARCH family of models and stochastic volatility models), multivariate time series analysis, non-stationary models, and ongoing topics in modern time series econometric research. The course is designed to balance the introduction of statistical theory and applications with empirical data. A main component of this course consists of practical exercises and an empirical project with real data.