k e m a l <> b a d u r :: ECON 8213 Time Series Analysis

k e m a l b a d u r

ECON 8213

Time Series Analysis

Spring 1999

John Geweke

Course Content

  1. Stochastic Processes and Stationarity
  2. Linear Transformations: Wold's Theorem
  3. Autocovariances; Autoregresive Representations
  4. Spectral Density Function
  5. ARMA representations
  6. Prediction Conditional on the Past
  7. Prediction Conditional on the Finite Sample
  8. Causality, Exogeneity and Ancillarity
  9. Signal Extraction, with Application to Seasonality and Missing Data
  10. Discrete Markov State models
  11. ARCH and Stochastic Volatility
  12. Markov Switching, Threshold, and Markov Mixture Models
  13. Long Memory Models

Material Available:

Problem Set I (242 k)
Problem Set II (207 k)

Related Links

John Geweke Prof. Geweke has a ton of useful stuff in his homepage, including links and material for BACC, a software program for Bayesian econometrics he is developing, and some extensive lecture and research material.

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