pr840-08 - Economics 840 Time Series Econometrics Professor...

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Economics 840: Time Series Econometrics Professor Robert M. de Jong Spring 2008 Office: 429 Arps Hall Email: [email protected] Office hours: Tuesdays and Thursdays, 1:00-3:00pm. Classes: Mondays and Wednesdays, 9:30-11:18am. TA for this course: Jungick Lee ( [email protected] ). Econ 840 is a course in time series econometrics. Prerequisite for this course is the first year Econometrics sequence. The analysis of time series is fundamentally more complex than that of cross-sectional data. This is because in time series, observations at point t in time will typically be heavily correlated with observations in period t + 1 , t + 2 , etc. Time series analysis seeks to model data that cannot be as- sumed to be independent at each point in time. In economics, time series are especially important for the analysis of macro-economic data and financial data. A short description of the topics of this course is the following. A classical technique for the analysis of time series is the use ARMA or ARIMA models (AutoRegressive Moving Average) to model time series. Frequency domain techniques provide an alternative way of looking at time se- ries by attempting to split a time series into processes of different frequencies. GARCH processes are important in financial applications; GARCH models seek to model the conditional variance of a stochastic process, rather than the level of the process. A lot of applied work in contemporary
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This note was uploaded on 07/17/2008 for the course ECON 840 taught by Professor De jong during the Spring '08 term at Ohio State.

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pr840-08 - Economics 840 Time Series Econometrics Professor...

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