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This year, I am migrating my course page to UGA’s eLearning Commons. If you are registered for this course, you will be able to access the course page by logging on (with your MyID name and password) at www.elc.uga.edu.
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ECON 8130 Time Series Econometrics Fall 2009
505 Brooks Hall
This course in an introduction to the economic and statistical analysis of time series data. Its focus is on time-series models that characterize these data, with an emphasis on understanding economic behavior. The importance of these methods should not be underestimated – most of what we know about the overall economy and finance is based on our observations of how prices and quantities vary over time. The course begins with an overview of the nature of time series data and a quick review of some necessary statistical tools. The second part of the course covers regressions on time-series data, where the presence of serial dependence is likely. We then consider models that can accommodate most of the types of serial dependence found in observed time series, focusing primarily on stationary, linear models – autoregressive-moving average (ARMA) models and their multivariate generalization (vector autoregressions) – but also touching on non-linear models of conditional heteroskedasticity (ARCH models). The last part of the course analyzes time series data generated by non-stationary processes, with primary attention paid to unit roots and cointegration. |