E572 | 1714 | Prof. Trivedi

E572 Course Description Pre-requisites: E571 or equivalent. This course will cover the theory and application of the general linear regression model and its various exensions. Univariate time series analysis and time series regression models are also covered. Emphasis will be on rigorous development of the material using matrix notation. The time series analysis in this course is intended to provide the requisite material for later courses and will have an econometric rather than statistical emphasis. Required texts: J. Johnston and J. DiNardo, Econometric methods, Fourth Edition. McGraw-Hill (1996) P.H. Franses, Time Series Analysis for Business and Economic Forecasting, Cambridge, 1998.