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Published by: Massachusetts Institute of Technology | Language: English
Published by: Massachusetts Institute of Technology | Language: English
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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 method
Author(s):
Tag(s):
- economics
- univariate stationary
- univariate non-stationary
- vector autoregressions
- frequency domain analysis
- persistent time series
- structural breaks
- dynamic stochastic general equilibrium
- dsge
- bayesian
- econometrics
- var
- unit root
- prediction regression
- gmm
- mcmc
File: 14-384-fall-2008.zip
This OER is part of OCW: Time Series Analysis
Published under: /Download Course Materials
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Inherited Tag(s):
- economics
- univariate stationary
- univariate non-stationary
- vector autoregressions
- frequency domain analysis
- persistent time series
- structural breaks
- dynamic stochastic general equilibrium
- dsge
- bayesian
- econometrics
- var
- unit root
- prediction regression
- gmm
- mcmc
File: problems.pdf
This OER is part of OCW: Time Series Analysis
Published under: /Assignments
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OCW Authors:
Inherited Tag(s):
- economics
- univariate stationary
- univariate non-stationary
- vector autoregressions
- frequency domain analysis
- persistent time series
- structural breaks
- dynamic stochastic general equilibrium
- dsge
- bayesian
- econometrics
- var
- unit root
- prediction regression
- gmm
- mcmc
File: exam.pdf
This OER is part of OCW: Time Series Analysis
Published under: /Assignments
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OCW Authors:
Inherited Tag(s):
- economics
- univariate stationary
- univariate non-stationary
- vector autoregressions
- frequency domain analysis
- persistent time series
- structural breaks
- dynamic stochastic general equilibrium
- dsge
- bayesian
- econometrics
- var
- unit root
- prediction regression
- gmm
- mcmc
File: lec7.pdf
This OER is part of OCW: Time Series Analysis
Published under: /Lecture Notes
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OCW Authors:
Inherited Tag(s):
- economics
- univariate stationary
- univariate non-stationary
- vector autoregressions
- frequency domain analysis
- persistent time series
- structural breaks
- dynamic stochastic general equilibrium
- dsge
- bayesian
- econometrics
- var
- unit root
- prediction regression
- gmm
- mcmc
File: lec2.pdf
This OER is part of OCW: Time Series Analysis
Published under: /Lecture Notes
Share in:
OCW Authors:
Inherited Tag(s):
- economics
- univariate stationary
- univariate non-stationary
- vector autoregressions
- frequency domain analysis
- persistent time series
- structural breaks
- dynamic stochastic general equilibrium
- dsge
- bayesian
- econometrics
- var
- unit root
- prediction regression
- gmm
- mcmc
File: lec14.pdf
This OER is part of OCW: Time Series Analysis
Published under: /Lecture Notes
Share in:
OCW Authors:
Inherited Tag(s):
- economics
- univariate stationary
- univariate non-stationary
- vector autoregressions
- frequency domain analysis
- persistent time series
- structural breaks
- dynamic stochastic general equilibrium
- dsge
- bayesian
- econometrics
- var
- unit root
- prediction regression
- gmm
- mcmc
File: lec15.pdf
This OER is part of OCW: Time Series Analysis
Published under: /Lecture Notes
Share in:
OCW Authors:
Inherited Tag(s):
- economics
- univariate stationary
- univariate non-stationary
- vector autoregressions
- frequency domain analysis
- persistent time series
- structural breaks
- dynamic stochastic general equilibrium
- dsge
- bayesian
- econometrics
- var
- unit root
- prediction regression
- gmm
- mcmc
File: lec6.pdf
This OER is part of OCW: Time Series Analysis
Published under: /Lecture Notes
Share in:
OCW Authors:
Inherited Tag(s):
- economics
- univariate stationary
- univariate non-stationary
- vector autoregressions
- frequency domain analysis
- persistent time series
- structural breaks
- dynamic stochastic general equilibrium
- dsge
- bayesian
- econometrics
- var
- unit root
- prediction regression
- gmm
- mcmc
File: lec1.pdf
This OER is part of OCW: Time Series Analysis
Published under: /Lecture Notes
Share in:
OCW Authors:
Inherited Tag(s):
- economics
- univariate stationary
- univariate non-stationary
- vector autoregressions
- frequency domain analysis
- persistent time series
- structural breaks
- dynamic stochastic general equilibrium
- dsge
- bayesian
- econometrics
- var
- unit root
- prediction regression
- gmm
- mcmc
File: lec9.pdf
This OER is part of OCW: Time Series Analysis
Published under: /Lecture Notes
Share in:
OCW Authors:
Inherited Tag(s):
- economics
- univariate stationary
- univariate non-stationary
- vector autoregressions
- frequency domain analysis
- persistent time series
- structural breaks
- dynamic stochastic general equilibrium
- dsge
- bayesian
- econometrics
- var
- unit root
- prediction regression
- gmm
- mcmc
File: lec19.pdf
This OER is part of OCW: Time Series Analysis
Published under: /Lecture Notes
Share in:
OCW Authors:
Inherited Tag(s):
- economics
- univariate stationary
- univariate non-stationary
- vector autoregressions
- frequency domain analysis
- persistent time series
- structural breaks
- dynamic stochastic general equilibrium
- dsge
- bayesian
- econometrics
- var
- unit root
- prediction regression
- gmm
- mcmc
File: lec16.pdf
This OER is part of OCW: Time Series Analysis
Published under: /Lecture Notes
Share in:
OCW Authors:
Inherited Tag(s):
- economics
- univariate stationary
- univariate non-stationary
- vector autoregressions
- frequency domain analysis
- persistent time series
- structural breaks
- dynamic stochastic general equilibrium
- dsge
- bayesian
- econometrics
- var
- unit root
- prediction regression
- gmm
- mcmc
File: lec5.pdf
This OER is part of OCW: Time Series Analysis
Published under: /Lecture Notes
Share in:
OCW Authors:
Inherited Tag(s):
- economics
- univariate stationary
- univariate non-stationary
- vector autoregressions
- frequency domain analysis
- persistent time series
- structural breaks
- dynamic stochastic general equilibrium
- dsge
- bayesian
- econometrics
- var
- unit root
- prediction regression
- gmm
- mcmc
File: lec8.pdf
This OER is part of OCW: Time Series Analysis
Published under: /Lecture Notes
Share in:
OCW Authors:
Inherited Tag(s):
- economics
- univariate stationary
- univariate non-stationary
- vector autoregressions
- frequency domain analysis
- persistent time series
- structural breaks
- dynamic stochastic general equilibrium
- dsge
- bayesian
- econometrics
- var
- unit root
- prediction regression
- gmm
- mcmc
File: lec17.pdf
This OER is part of OCW: Time Series Analysis
Published under: /Lecture Notes
Share in:
OCW Authors:
Inherited Tag(s):
- economics
- univariate stationary
- univariate non-stationary
- vector autoregressions
- frequency domain analysis
- persistent time series
- structural breaks
- dynamic stochastic general equilibrium
- dsge
- bayesian
- econometrics
- var
- unit root
- prediction regression
- gmm
- mcmc
43 results found.
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