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上海交通大学安泰经济与管理学院博士课程内容介绍《高级计量经济学（三）（时间序列）》

上海交通大学 免费考研网/2012-12-28

《高级计量经济学（三）（时间序列）》

课程代码C120739学分/学时3.0/54开课时间秋
课程名称高级计量经济学（三）（时间序列）
开课学院安泰经济与管理学院
任课教师钱军辉
面向专业
预修课程Advanced Econometrics (I)
课程讨论时数0 (小时)课程实验数0 (小时)
课程内容简介

(无)

课程内容简介（英文）

This course is intended for doctoral students majoring in economics and finance. It introduces basic models in time series, including ARMA, ARCH/GARCH, VAR, etc. More advanced subjects, such as state space models and nonstationary time series, will also be covered. During the first part of the course, some training in Matlab implementation will be provided, so that at the end of the course, students are expected to be able to do estimation and forecasting usingn Matlab.

教学大纲

1. Introduction2. Conditional Mean Models (ARMA,etc.)3. Conditional Variance Models (ARCH/GARCH, etc.)4. Multivariate Time Series Models (VAR, DCC, etc.)5. State Space Models6. Integrated Time Series (Unit Root, Cointegration, etc.)

课程进度计划

(无)

课程考核要求

考试70％＋作业30％。

参 考 文 献
  • 1. Lecture notes, available online. 2. Hamilton (1994), Time Series Analysis, Princeton University Process.
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