This final string of the mathematical statistics is a close proxy of Intermediate Econometrics in Macroeconomics. The course is mainly focused on stochastic process data, which are often a strain of time series. Course topics are

• ARMA models
• Stochastic process
  – Impulse response analysis
  – Stationarity vs. Non-stationarity
• Non-stationary models
  – Unit-root
• Vector AutoRegression
• Kalman filter

In addition, a basic concept of spectral representation will be explored as well.