525, or EECS 501. An introduction to Brownian motion, stationary processes and martingales. Statistical Analysis of Time Series. Special topics might include vector autoregression, cross-spectral analysis, causality testing or other issues of current interest. Statistics 511 or Economics 775 is the standard prerequisite.
Student evaluation is based on exams, homework, and a term paper.
Lectures and problem sets including computer exercises are the main methods of instruction. 775 or equivalent. This is a course in advanced econometrics. It includes a thorough treatment of the general linear model, a development of simultaneous equation techniques, and an introduction to nonlinear models.