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This course will cover a range of topics in time series econometrics and empirical macroeconomics and finance that arise in current research and policy analysis. Key topics include GMM estimation, filtering, forecasting, structural VARs, and modeling stock and bond returns. It assumes a knowledge of the basics of time series econometrics. Both theoretical and empirical work will be included. Bayesian simulation methods that are very important in current research methods will be emphasized. This course should be taken by people with an interest in either empirical macro or empirical finance and may be helpful in searching for a dissertation topic.