Econ840: Time Series Econometrics (Winter 2005)

Professor Ling Hu Office: Arps 403 Office hours: Wednesday 3 - 5 pm or by appointment Tel: 292-4198 E-mail: linghu@econ.ohio-state.edu

TA: Sang-Yeob Lee Email: lee.1621@osu.edu TA office hours: Tuesday 1 - 3 pm Office location: 321 Arps Hall Tel: 292-2087

Homework assignment 2

Announcement: Class on Feb 28 (Monday) canceled

Syllabus

Lecture 1: Introduction to stationary time series

Lecture 2: ARMA models

Lecture 3: Spectral analysis

Lecture 4: Asymptotic distribution theories

Lecture 5: Linear regressions

Lecture 6: Vector autoregressions

Lecture 7: Processes with deterministic trends

Lecture 8: Univariate processes with unit roots

Lecture 9: Multivariate unit root processes and cointegration

Lecture 10: Further topics