Time Series Analysis: Advanced Topics
- Mark Pickup, Simon Fraser University and the University of Oxford
- Paul Kellstedt, Texas A&M University
This course covers advanced topics in time series analysis. Topics will include vector autoregression models, vector error correction models, state-space models, dynamic factor models, controversies in the use of error correction models, count time series, change-point models, dynamic conditional correlation models, and forecast evaluation.
A sound background in time series fundamentals is assumed. The course will make use of basic matrix algebra. The lab component of this course will employ STATA. Familiarity with STATA is assumed but a STATA crash course will be provided outside the lecture on day two. If you are unfamiliar with STATA, we suggest that you attend one of the many STATA tutorial sessions or lectures offered as part of the Summer Program.
Fees: Consult the fee structure.
Location: ICPSR -- Ann Arbor, MI
Date(s): July 18 - August 12
Time: 3:00 PM - 5:00 PM