ECON 8821 Time Series Econometrics

Name: Time Series Econometrics
Rating: 4.68 (28 reviews)

This course covers major advances in time series analysis. In addition to univariate and multivariate models for stationary time series, it addresses the issues of unit roots and cointegration. The Kalman Filter and time series models of heteroskedasticity are also discussed. The course stresses the application of technical tools to economic issues, including testing money-income causality, stock market efficiency, the life-cycle model, and the sources of business cycle fluctuations.

Course overview

Department: Economics
School: MCAS
Credits: 3
Level: Graduate
Offered: Every Fall

Catalog details

Prerequisites: ECON7770 and ECON7772 or equivalents.

Catalog text is imported from the reviewed Boston College course snapshot. Confirm eligibility in EagleApps.

Requirements fulfilled

No source-backed degree requirement is attached to this course yet.

Official evaluation summary

4.68 / 5

Based on 28 aggregate responses from BC Avalanche/Blue evaluations.

Data freshness

Course and evaluation data last updated 2026-08-02. Source details and limitations are documented in Data Sources and Methodology.

Instructors

Zhijie Xiao
Fall 2026, Fall 2025, Fall 2024, Fall 2023, Fall 2022, Fall 2021 · Official rating 4.82/5

Sections

Section 01
Fall 2026 · Zhijie Xiao · Maloney Hall 330 Th 01:30PM-04:15PM · Offered