Courses Offered

The course consists of an introduction to the econometric analysis of time series. Following a review of basic concepts (estimation, testing, numerical optimization) I will introduce “reduced form” models: autoregressive process (stationarity) and moving average processes. “Structural models” will be discussed next with emphasis on dynamics and Error-Correction-Mechanisms (ECM). Finally, I will discuss dynamic state-space models: linear Gaussian models and the Kalman filter; non-linear non-Gaussian models (particle filters and extensions). Sample syllabus

This is an advanced course in econometric theory. The selection of topics is based on an attempt to make the students familiar with the ideas of nonparametric and semiparametric estimation methods. While concepts and theory will be the focus of the course, attention will be given to practical considerations. The topics covered in this course can be applied to microeconomic fields. Sample syllabus

This is a year-long course in which external speakers are invited to present their research in econometrics.