Economics 16:220:508 Econometrics II

The main focus of this course is time series econometrics. Throughout the course, we will discuss specification, estimation, and testing using time series data. Review topics including LM, LR, and Wald tests, ARIMA models, and (simulated) maximum likelihood estimation. We will also cover VAR models, unit roots, cointegration, spurious regression, Granger causality, and GARCH. Finally, we will cover forecasting, estimation and testing of continuous time financial models, bootstrapping, and Monte Carlo methods. The overall focus of the course will be on financial and macro econometrics.