GPA

3.51

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This advanced course gives an up-to-date and comprehensive treatment of modern time series analysis and empirical macroeconomics. Topics include: ARIMA processes, spectral analysis, forecasting, covariance-stationary vector processes, vector auto regressions, state space representations in the Kalman filter, non-stationary time series and fractional integrated processes, and time series models of heteroscedasticity. Prerequisite: ECON 67200.

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