Description
Instructor(s)/Supervisor(s)/Coordinator(s): Peng WANGThis doctoral-level course provides a rigorous foundation in modern time series analysis. We begin with a review of core time series concepts, including stationary ARMA processes, unit root testing, cointegration, and GARCH. We then delve into Vector Autoregressions (VARs), Local Projections, Markov Regime-Switching Models, and High-Dimensional Factor Models. Students will learn to conduct estimation, inference, and forecasting using both R and MATLAB.