ECON 8821 Time Series Econometrics
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
Course evaluations
- Course rating
- 4.68 / 5 · Excellent
- Instructor rating
- 4.82 / 5 · Excellent
- Terms evaluated
- 5
| Term | Instructor | Course overall | Instructor overall | Well organized | Clear learning objectives | Intellectually challenging | Helpful assignments | Applicable beyond course | Attendance necessary | Weekly effort | Responses |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Fall 2025 | Zhijie Xiao | 5.0 | 5.0 | 5.0 | 5.0 | 5.0 | 5.0 | 5.0 | 5.0 | 1–3 hrs/week | 5 of 5 |
| Fall 2024 | Zhijie Xiao | 5.0 | 5.0 | 5.0 | 5.0 | 4.6 | 5.0 | 5.0 | 5.0 | — | 5 of 5 |
| Fall 2023 | Zhijie Xiao | — | — | — | — | — | — | — | — | — | 8 of 10 |
| Fall 2022 | Zhijie Xiao | 4.6 | 5.0 | 4.8 | 4.8 | 4.4 | 5.0 | 4.5 | 3.9 | 1–3 hrs/week | 8 of 9 |
| Fall 2021 | Zhijie Xiao | 4.5 | 4.5 | 5.0 | 5.0 | 5.0 | 5.0 | 5.0 | 4.5 | — | 2 of 3 |