2009 Fall ECON 220-01
Bulletin Course Description Empirical research in macroeconomics and international finance, providing students with a series of econometric tools for empirical analysis of time-series and an introduction to the current empirical research in macroeconomics, international finance, and forecasting. Small project and simple empirical research required. Instructor: Rossi
(Instructor named in bulletin description above may not be current. For current instructor, see listing below.)
Title TIME SERIES ECONOMETRICS Department ECON Course Number 2009 Fall 220 Section Number 01 Primary Instructor Rossi,Barbara Prerequisites Prerequisites: Satisfactory performance (as judged by the instructor) in Econometrics (Economics 139D) plus a course in Linear Algebra or consent of t
Synopsis of course content
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Prerequisites
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Course requires background in Econometrics (Economics 139D) and a course in Linear Algebra. A course in introductory macroeconomics (like Economics 110D) is also suggested but not required.
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Course Description
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This course deals with empirical research in macroeconomics and
international finance. The aim of the course is to provide the student with a
series of econometric tools for the empirical analysis of time-series, and to
give the student a taste of the current empirical research in macroeconomics
and international finance.
One of the aims of the course is to give the student a chance to pursue a
small project and conduct simple empirical research.
The list of topics includes:
Review of basic Econometrics
VARs
Granger causality
Unit root tests
Structural breaks
Dynamic multipliers
ARMA stationary processes
Impulse-responses and variance decompositions
Multi-period forecasting
Cointegration
ARCH and GARCH and financial applications
Textbooks
Hamilton, Time Series Analysis, Princeton University (optional but quite important)
Hayashi, Econometrics, Princeton University Press (recommended)
Stock and Watson, Econometrics, Addison-Wesley, 2002 (recommended)
Diebold, Elements of Forecasting, South-Western 1998 (optional)
Assignments
There will be assignments approximately every two weeks; they will include both theoretical and practical exercises.
Exams
There will be a midterm and a final exam.
Grade to be based on
Problem sets, midterm and final exam.
