Time Series Analysis (MIT公开课) 0 个评论 关注

开始时间: 04/22/2022 持续时间: 未知

主页: http://ocw.mit.edu/courses/economics/14-384-time-series-analysis-fall-2008

简介: 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.