Courses:

The course is an introduction to univariate and multivariate time series models. It starts by introducing basic concepts and progresses to more complicated models. The course intends to meet two goals. It provides tools for empirical work with time series data and is an introduction into the theoretical foundation of time series models. There will be three problem sets and a final exam. Thirty percent of the course grade will be based on problem sets. The final exam has been scheduled for the final exam week.

1. J. Hamilton. Time Series Analysis. Princeton: Princeton University Press, 1994.
2. P. Brockwell., and R. Davis. Time Series: Theory and Methods. Second edition. New York: Springer-Verlag, 1991.
3. W. Enders. Applied Econometric Time Series. New York: Wiley, 1995.
4. H. White. Asymptotic Theory for Econometricians. New York: Academic Press, 1984.