EPPS7370 - Time Series Analysis I

EPPS 7370 Time Series Analysis I (3 semester credit hours) This course considers several important topics for applied time series analyses of social science and public policy data including the specification and testing of Box-Jenkins ARIMA models and dynamic regressions. Other topics include stationarity and unit root tests, cointegration and error correction models, autoregressive conditional heterogeneity (GARCH) models and introductions to vector autoregression (VAR) and state space models. Students learn how to use modern software such as Eviews, R, RATS and Stata to do time series analyses. Recommended: EPPS 7316 or equivalent. (3-0) T