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时间序列分析14.384 Time Series Analysis (MIT) |
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| 课程网址: | http://ocw.mit.edu/courses/economics/14-384-time-series-analysis-... |
| 主讲教师: | Prof. Anna Mikusheva |
| 开课单位: | 麻省理工学院 |
| 开课时间: | 信息不详。欢迎您在右侧留言补充。 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | The course provides a survey of the theory and application of time series methods in econometrics. Topics covered will include univariate stationary and non-stationary models, vector autoregressions, frequency domain methods, models for estimation and inference in persistent time series, and structural breaks. We will cover different methods of estimation and inferences of modern dynamic stochastic general equilibrium models (DSGE): simulated method of moments, Maximum likelihood and Bayesian approach. The empirical applications in the course will be drawn primarily from macroeconomics. |
| 关 键 词: | 单变量的平稳和非平稳模型; 向量自回归模型; 频率域方法; 持续时间序列估计和推理模型和结构突变 |
| 课程来源: | 麻省理工大学公开课 |
| 最后编审: | 2016-03-08：cmh |
| 阅读次数: | 27 |