14.384 Time Series Analysis

Fall 2008

Image containing time series equation and graph.
Graph of time series equation. (Image courtesy of Daniel Bersak.)

Course Highlights

This course contains both lecture notes and supplemental recitation notes.

Course Description

The course provides a survey of the theory and application of time series methods in econometrics. Topics covered will include univariate stationary and non-stationary models, vector autoregressions, frequency domain methods, models for estimation and inference in persistent time series, and structural breaks. We will cover different methods of estimation and inferences of modern dynamic stochastic general equilibrium models (DSGE): simulated method of moments, maximum likelihood and Bayesian approach. The empirical applications in the course will be drawn primarily from macroeconomics.
Donate Now


Prof. Anna Mikusheva
Paul Schrimpf

Course Meeting Times

2 sessions / week
1.5 hours / session

1 session / week
1 hour / session