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Course Details

Fall 2017-2018
ECO 513   Graded A-F, P/D/F, Audit

Advanced Econometrics: Time Series Models

Mikkel Plagborg-Moller
Christopher A. Sims

Concepts and methods of time series analysis and their applications to economics. Time series models to be studied include simultaneous stochastic equations, VAR, ARIMA, and state-space models. Methods to analyze trends, second-moment properties via the auto covariance function and the spectral density function, methods of estimation and hypothesis testing and of model selection will be presented. Kalman filter and applications as well as unit roots, cointegration, ARCH, and structural breaks models are also studied.


Sample reading list:
See instructor for complete list

Requirements/Grading:
Mid Term Exam - 50%
Final Exam - 50%

Other Requirements:
Open to Graduate Students Only.

Other information:
Qualified undergraduates must receive written permission from the instructor to register for the course.

Website:  http://www.econ.princeton.edu/

Schedule/Classroom assignment:

Class numberSectionTimeDaysRoomEnrollmentStatus
23064 L01 10:40 am - 12:10 pm M W        Enrolled:0 Limit:35