RES-ECON 797A - ST-TimeSeries & Forecasting

Institution:

University of Massachusetts Amherst

Subject:

Description:

Topics are divided between forecasting techniques and econometric time-series modeling. Discovering the data generating process of a random variable. Univariate approaches for dealing with a time series: exponential smoothing methods and ARIMA models. Tests for stationarity. Unit roots. Dickey-Fuller tests. Augmented Dickey-Fuller models. Multivariate approaches for modeling. Spurious relationships. Cointegration. Vector autoregression. Error correction models.

Credits:

3.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.umass.edu

Phone Number:

(413) 545-0111

Regional Accreditation:

New England Association of Schools and Colleges

Calendar System:

Semester

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