14.384 -- Time Series Analysis
Course Description: Theory and application of time series methods in econometrics, including representation theorems, decomposition theorems, prediction, spectral analysis, estimation with stationary and nonstationary processes, VARs, factor models, stochastic volatility, unit roots, and cointegration. Requires econometrics paper at the end of IAP. Class size limited.

This class is at the Graduate level
Instructor: A. Mikusheva
Prerequisites: 14.382 or permission of instructor

Insider's Wisdom

In economics, there are traditionally two types of time series which are studied: macroeconomic and finance. This class focuses on macroeconomic time series, so that's where all the examples come from.

It's not a very theoretical class. The emphasis is on giving the intuition behind the proofs, giving a sense of the important assumptions behind them.

Traditionally the bulk of the students taking the class have been Econ Ph.D. students but often there Sloan Ph.D. students, undergrads and master engineering students. The size of the class is around 20 students.

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