ECON 5660 - Time Series Econometrics and Forecasting

3 hours

Focuses on time series analysis and forecasting methodologies applied to problems typically encountered in economics, finance, and accounting. Topics include AR, MA and ARMA models; dynamic time series models; non-stationarity and tests for unit roots; ARCH and GARCH models; VAR models and impulse response functions; fractional integration and cointegration; and error correction models. Computer applications will be used to reinforce the theoretical models.

Prerequisite(s): ECON 5640 or consent of department.

Usually offered spring term/semester.