Indiana University Bloomington

Every Year

Economics E672

Contact: Yoosoon Chang (
Capacity: 15
Sequence: N/A
Pre-Requisites: Econ 571 (Econometrics I - Statistical Foundations) and Econ 572 (Econometrics II - Regression/Time Series)
Algebra Required: Yes, extensively used for notation, proofs and for assignments.
Calculus Required: Assumed.
Contact Person for Authorization: Usually no authorization required for those who have taken the prerequisites Econometrics I and II (E571 and E572), all others need the instructor's approval.
Instructor: Yoosoon Chang
Days Per Week Offered: Two lectures a week.
Recommended follow-up classes: Financial Econometrics E724.
Syllabus: Download Syllabus
Keywords: Stationary time series in time and frequency domains, unit roots and cointegration, structural VAR, volatility models, state space models, nonstationary nonlinear models.
Description: Provides basic theory and tools to analyze macro and financial economic data for students who intend to do dissertation research on empirical macro and financial economics as well as those who will specialize in time series and financial econometrics.
Books: Brockwell and Davis (1991): Time Series Theory and Methods
Hamilton (1994): Time Series Analysis.
Substantive Orientation: Finance, statistics, applied mathematics, and also SPEA and HPER (with strong math background)
Statistical Orientation: Mostly classical approach
Applied/Theoretical: Theoretical, but also substantial amount of data and programming exercises are given.
Software: MatLab
How Software is Used: For computation, data analysis and simulations
Problem Sets: Yes, 7-8 problem sets covering theoretical, computational and empirical questions.
Data Analysis: Yes
Presentation: No
Exams: Yes - 1 midterm and 1 final.