Provides basic theory and tools to analyze macro and financial economic data for students who intend to do dissertation research on empirical macro and financial economics as well as those who will specialize in time series and financial econometrics.
Instructor: Yoosoon Chang - firstname.lastname@example.org
Other Contact(s): Yoosoon Chang - email@example.com
Prerequisites: Econ 571 (Econometrics I - Statistical Foundations) and Econ 572 (Econometrics II - Regression/Time Series)
Algebra Required?: Yes, extensively used for notation, proofs and for assignments
Calculus Required?: Assumed.
Day(s) per week offered: Two lectures a week
Recommended follow-up classes: Financial Econometrics E724
Substantive Orientation: Finance, statistics, applied mathematics, and also SPEA and HPER (with strong math background)
Statistical Orientation: Mostly classical approach
Applied/Theoretical: Theoretical, but also substantial amount of data and programming
Software Used: MatLab
How the software is used: For computation, data analysis, and simulations
Problem Sets: Yes, 7-8 problem sets covering theoretical, computational and empirical questions.
Data Analysis: Yes
Exams: Yes - 1 midterm and 1 final.
Keywords: Stationary time series in time and frequency domains, unit roots and cointegration, structural VAR, volatility models, state space models, nonstationary nonlinear models