Discrete State Stochastic Processes. An introduction to Brownian motion, stationary processes, or 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 statistical problems in dealing with time series and cross-section data, a development of simultaneous equation techniques, and formulation and estimation of special models.