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Prerequisites: Econ . 418. Offered in fall.
Review of the traditional methodology of the general linear model. Maximum-likelihood estimation with applications in limited-dependent variable models, switching regression models, ARCH models, etc. Time-series modeling. Dynamic modeling: the general to specific methodology. Non-stationarity and cointegration. Vector autoregression. Exogeneity and structural invariance. Rational expectations. State-space models and the Kalman filter.
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