2025-02-28 ~ 2025-03-21
Time Series Analysis Minicourse
Lecturer: Tao Jin (金涛, Visiting Scholar)
Weekday: Fri
Time: 09:50-12:15
Venue: A3-3-301
Zoom: 435 529 7909
Password: BIMSA
Introduction
Time series analysis is one of the major fields of econometrics, which has been viewed as “empirical macroeconomics” by many economists. As time series data and modelling dynamics become increasingly important, time series analysis has been more and more widely applied to empirical studies in economics and finance. This minicourse introduces the main framework and methods of time series analysis, and aims to help graduate students understand the differences and connections between time series analysis and other fields of econometrics, and master the commonly used methods that are important not only for analyzing the time series data, but also for essentially any empirical studies.
Syllabus
Lecture 1: Stationary Processes
Lecture 2: Difference Equations and Lag Operators
Lecture 3: ARMA Processes
Lecture 4: Forecasting
Lecturer Intro
Tao Jin is currently a visiting scholar at Beijing Institute of Mathematical Sciences and Applications (BIMSA) and a Director of the China Society for Finance & Banking. He was an Associate Professor in the PBC School of Finance, Tsinghua University, the Deputy Director of the Center for Finance & Development, National Institute of Financial Research, Tsinghua University, and the Director of the Monetary & Fiscal Policy Research Lab, Hang Lung Center for Real Estate, Tsinghua University. Prior to joining Tsinghua, he worked at the Federal Reserve Bank of Boston as a research fellow, at the National Bureau of Economic Research (NBER) as a research assistant, and at Harvard University as a teaching fellow. He received a Ph.D. degree in Economics from Harvard University (2014) and a Ph.D. degree in Mathematics from the University of Rochester (2010). He also holds a M.S. degree in Probability and Statistics from Peking University and a B.A. degree in Economics and a B.S. degree in Mathematics from Wuhan University.
Professor Jin's research agenda covers macroeconomics, asset pricing, econometrics, and mathematics. His work has been published in top academic journals, such as Econometrica and Review of Economic Dynamics, and IEEE conferences.
