Unit Roots and Cointegration, Begins May 2, 2019

Registration is now open for our newest e-course course, which will cover Unit Roots and Cointegration. The course will run for roughly eight weeks beginning May 2 and will examine the practical and theoretical issues regarding "unit root" behavior of data and its importance for modern macroeconometric analysis, and its effects on other types of models, such as GARCH and related models. We will look at the effects on testing procedures of allowance for structural breaks. We will also cover the related (and generally more technically demanding) long-memory methods of fractional integration and differencing.

This will be a self-paced course with a new installment posted on the RATS discussion forum every week (generally Thursday). Participants will be able to post questions and make requests for additional topics. You will also get lifetime updates for the generated course materials and their updates. (Most of the previous courses are on 2nd editions now.)