Time Series Analysis OpenCourseWare: A Free MIT Grad-Level Econometrics Course
'Time Series Analysis' is a free graduate-level OpenCourseWare offered by MIT that examines the theory and application of time series methods in econometrics. Econometrics is the study of the quantitative and statistical methods used to elucidate economic relationships. This course is heavy on mathematical theory and is recommended for students with a thorough background in advanced mathematics.
Time Series Analysis: Course Specifics
| Degree Level | Free | Audio | Video | Downloads |
|---|---|---|---|---|
| Graduate | Yes | No | No | Yes |
| Lectures/Notes | Study Materials | Tests/Quizzes |
|---|---|---|
| Yes | Yes | Yes |
Time Series Analysis: Course Description
The 'Time Series Analysis' OpenCourseWare helps students to assess the quality of economic models with time series data. The pitfalls and limitations of various analysis methods and how they can be overcome will be covered in this course. Modern dynamic stochastic general equilibrium models and the Bayesian approach are both used to form models of time series data. Other topics featured in the course include frequency domain methods and vector autoregressions. The applications of time series analysis will mostly be based upon macroeconomic theory. Professor Anna Mikusheva and Paul Schrimpf teach this lecture-based course.
Extensive lecture notes, a list of books and detailed recitation notes are used to guide the student through the course. In addition to these online resources, practice problems and the course's take-home exam are available for download. If you're interested in taking this free course or wish to learn more, visit the time series analysis course page.
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